Bitcoin Returns and Volatility Predicted by Bitcoin Exchange Reserves

By observing an increased amount of Bitcoin located in exchange reserves, it can be assumed that investors transferred their Bitcoin back to the exchange. In most cases, this means that they plan to sell. Price pressure is created, followed by a negative effect on the Bitcoin price. On the other hand, withdrawing Bitcoins into the private wallets most likely means positive long-term future returns, as the investors are preparing to hold for a prolonged amount of time. This means that long-term returns are associated with (only) decreased exchange reserves, while short-term returns are being influenced by both increasing and decreasing bitcoin exchange reserves.

https://quantpedia.com/bitcoin-returns-and-volatility-predicted-by-bitcoin-exchange-reserves/