Predictability of bitcoin returns

Jeremy Eng-Tuck Cheah, Di Luo (Lead / Corresponding author), Zhuang Zhang, Ming-Chien Sung

    Research output: Contribution to journalArticlepeer-review

    10 Citations (Scopus)
    8 Downloads (Pure)

    Abstract

    This paper comprehensively examines the performance of a host of popular variables to predict Bitcoin returns. We show that time-series momentum, economic policy uncertainty, and financial uncertainty outperform other predictors in all in-sample, out-of-sample, and asset allocation tests. Bitcoin returns have no exposure to common stock and bond market factors but rather are affected by Bitcoin-specific and external uncertainty factors.
    Original languageEnglish
    Pages (from-to)66–85
    Number of pages20
    JournalEuropean Journal of Finance
    Volume28
    Issue number1
    Early online date5 Nov 2020
    DOIs
    Publication statusPublished - 2022

    Keywords

    • Bitcoin
    • certainty equivalent return
    • forecasting
    • return predictability
    • time-series momentum

    Fingerprint

    Dive into the research topics of 'Predictability of bitcoin returns'. Together they form a unique fingerprint.

    Cite this