{"id":"https://openalex.org/W3020273449","doi":"https://doi.org/10.1108/jeim-10-2018-0228","title":"The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling","display_name":"The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling","publication_year":2020,"publication_date":"2020-04-17","ids":{"openalex":"https://openalex.org/W3020273449","doi":"https://doi.org/10.1108/jeim-10-2018-0228","mag":"3020273449"},"language":"en","primary_location":{"is_oa":false,"landing_page_url":"https://doi.org/10.1108/jeim-10-2018-0228","pdf_url":null,"source":{"id":"https://openalex.org/S141478581","display_name":"Journal of Enterprise Information Management","issn_l":"1741-0398","issn":["1741-0398","1758-7409"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false},"type":"article","type_crossref":"journal-article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5012429153","display_name":"Svetlana Sapuric","orcid":"https://orcid.org/0000-0002-7797-4220"},"institutions":[{"id":"https://openalex.org/I17389662","display_name":"University of Nicosia","ror":"https://ror.org/04v18t651","country_code":"CY","type":"education","lineage":["https://openalex.org/I17389662"]}],"countries":["CY"],"is_corresponding":false,"raw_author_name":"Svetlana Sapuric","raw_affiliation_strings":["School of Business, University of Nicosia, Nicosia, Cyprus"],"affiliations":[{"raw_affiliation_string":"School of Business, University of Nicosia, Nicosia, Cyprus","institution_ids":["https://openalex.org/I17389662"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5032769554","display_name":"Angelika Kokkinaki","orcid":"https://orcid.org/0000-0002-5985-8082"},"institutions":[{"id":"https://openalex.org/I17389662","display_name":"University of Nicosia","ror":"https://ror.org/04v18t651","country_code":"CY","type":"education","lineage":["https://openalex.org/I17389662"]}],"countries":["CY"],"is_corresponding":false,"raw_author_name":"Angelika Kokkinaki","raw_affiliation_strings":["School of Business, University of Nicosia, Nicosia, Cyprus"],"affiliations":[{"raw_affiliation_string":"School of Business, University of Nicosia, Nicosia, Cyprus","institution_ids":["https://openalex.org/I17389662"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5072141335","display_name":"Ifigenia Georgiou","orcid":"https://orcid.org/0000-0003-1753-3455"},"institutions":[{"id":"https://openalex.org/I17389662","display_name":"University of Nicosia","ror":"https://ror.org/04v18t651","country_code":"CY","type":"education","lineage":["https://openalex.org/I17389662"]}],"countries":["CY"],"is_corresponding":false,"raw_author_name":"Ifigenia Georgiou","raw_affiliation_strings":["School of Business, University of Nicosia, Nicosia, Cyprus"],"affiliations":[{"raw_affiliation_string":"School of Business, University of Nicosia, Nicosia, Cyprus","institution_ids":["https://openalex.org/I17389662"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.216,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.999983,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":94},"biblio":{"volume":"35","issue":"6","first_page":"1506","last_page":"1521"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9985,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9985,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.998,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.998,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/realized-variance","display_name":"Realized variance","score":0.53639615}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8494237},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6811051},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5406226},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.53639615},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5189671},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.49101022},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.43653432}],"mesh":[],"locations_count":1,"locations":[{"is_oa":false,"landing_page_url":"https://doi.org/10.1108/jeim-10-2018-0228","pdf_url":null,"source":{"id":"https://openalex.org/S141478581","display_name":"Journal of Enterprise Information Management","issn_l":"1741-0398","issn":["1741-0398","1758-7409"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.46,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"grants":[],"datasets":[],"versions":[],"referenced_works_count":25,"referenced_works":["https://openalex.org/W1996655716","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2017329423","https://openalex.org/W2025710885","https://openalex.org/W2049198122","https://openalex.org/W2061160212","https://openalex.org/W2082163831","https://openalex.org/W2101194190","https://openalex.org/W2121606993","https://openalex.org/W2145501956","https://openalex.org/W2147758913","https://openalex.org/W2153146814","https://openalex.org/W2173892922","https://openalex.org/W2522919571","https://openalex.org/W2601386739","https://openalex.org/W2694190980","https://openalex.org/W2794141870","https://openalex.org/W3121401171","https://openalex.org/W3121471611","https://openalex.org/W3122091423","https://openalex.org/W3123007700","https://openalex.org/W3125239845","https://openalex.org/W3150402146","https://openalex.org/W600354665"],"related_works":["https://openalex.org/W4386802740","https://openalex.org/W3122168985","https://openalex.org/W2528930360","https://openalex.org/W2401100138","https://openalex.org/W2149373347","https://openalex.org/W2085642832","https://openalex.org/W2044646743","https://openalex.org/W2000184509","https://openalex.org/W1986811129","https://openalex.org/W1985402745"],"abstract_inverted_index":{"Purpose":[0],"To":[1],"show":[2,170],"that":[3,57,171],"when":[4],"volume":[5,111,122,166,180],"of":[6,52,58,84,87,138,167,177,181,241,250],"trades":[7,168],"is":[8,212],"taken":[9],"into":[10,163,198],"consideration,":[11],"Bitcoin":[12,27,53,117,148,151,172,208,221],"does":[13],"not":[14,189],"seem":[15],"as":[16,18,219],"volatile":[17],"it":[19],"claimed.":[20],"Further,":[21],"to":[22,38,47,90,169,245],"study":[23,184,226],"the":[24,34,42,65,74,82,85,88,126,131,136,141,165,178,220,223,239,247,251],"relationship":[25,75,108],"between":[26,76,109],"trading":[28],"volume,":[29,77],"volatility":[30,55,89,113,152,173],"and":[31,33,61,79,81,106,112,120,123],"returns,":[32],"asymmetry":[35,83],"in":[36,147,207,230,238],"response":[37],"economic":[39,91],"information":[40],"for":[41,98,214],"period":[43],"from":[44],"July":[45],"2010":[46],"November":[48],"2017.":[49],"Design/methodology/approach":[50],"Comparison":[51],"price":[54],"with":[56],"six":[59],"currencies":[60],"gold.":[62],"We":[63,72,161,183,194],"repeat":[64],"analysis":[66,237],"using":[67,93],"returns":[68,78,124,149],"divided":[69],"by":[70,191],"volume.":[71],"examine":[73],"volatility,":[80],"reaction":[86],"news":[92],"asymmetric":[94],"models":[95],"(EGARCH)":[96],"run":[97],"four":[99,199],"meaningful":[100,200],"distinct":[101],"time":[102,187,201],"periods/subsamples.":[103],"Findings":[104],"Positive":[105],"significant":[107],"(1)":[110],"after":[114],"2013":[115,139],"(year":[116],"became":[118],"popular)":[119],"(2)":[121],"before":[125],"Mt.":[127,142],"Gox":[128,143],"hack.":[129],"During":[130],"euphoric":[132],"period,":[133,188],"starting":[134],"at":[135],"beginning":[137],"until":[140],"hack,":[144],"unexpected":[145],"increases":[146],"increased":[150],"more":[153],"than":[154],"unexpected,":[155],"equally":[156],"sized":[157],"decreases":[158],"(asymmetry).":[159],"Originality/value":[160],"take":[162],"consideration":[164],"seems":[174],"high":[175],"because":[176],"low":[179],"trades.":[182],"an":[185],"extended":[186],"covered":[190],"other":[192],"studies.":[193],"divide":[195],"our":[196],"sample":[197],"periods":[202],"based":[203],"on":[204,235],"important":[205,213,229],"events":[206],"market":[209,217],"history.":[210],"This":[211],"a":[215],"new":[216],"such":[218],"market;":[222],"relationships":[224],"under":[225],"are":[227],"very":[228],"markets":[231],"where":[232],"participants":[233],"rely":[234],"technical":[236],"absence":[240],"reliable":[242],"fundamental":[243],"methodology":[244],"measure":[246],"intrinsic":[248],"value":[249],"asset.":[252]},"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W3020273449","counts_by_year":[{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":13},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2}],"updated_date":"2025-01-09T06:58:24.626856","created_date":"2020-05-01"}