Abstract
Bitcoin futures exchange-traded funds (ETFs) are recent innovations in cryptocurrency investment. This article studies the price-volume relationship in this market from an information perspective. We first propose effective mutual information which has better estimation accuracy to analyze the contemporaneous relationship. Using half-hourly trading data of the world’s largest Bitcoin futures ETF, we find that trading volume changes and returns contain information about each other and are contemporaneously dependent. Then, we employ effective transfer entropy to examine the intertemporal relationship. The results show that there exists information transfer from volume changes to returns in most of our sample period, suggesting the presence of return predictability and market inefficiency. However, information transfer in the opposite direction occurs much less frequently, and the amount is typically smaller.
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