How does the informed trading impact Bitcoin returns and volatility?
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DOI: 10.1080/00036846.2020.1814944
Abstract: ABSTRACT This study employed an augmented AR-GJRGARCH model that incorporates an intraday-based buy-sell order size imbalance measure to explore how informed trading behaviour/activity impacted Bitcoin returns and volatility from January 2014 to February 2019. Our… read more here.
Keywords: trading behaviour; returns volatility; bitcoin returns; informed trading ... See more keywords