Predictability of bitcoin returns

Jeremy Eng-Tuck  Cheah; Di Luo; Zhuang  Zhang; Ming-Chien  Sung

doi:10.1080/1351847X.2020.1835685

Predictability of bitcoin returns

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

Research output: Contribution to journal › Article › peer-review

20 Citations (Scopus)

146 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 language	English
Pages (from-to)	66–85
Number of pages	20
Journal	European Journal of Finance
Volume	28
Issue number	1
Early online date	5 Nov 2020
DOIs	https://doi.org/10.1080/1351847X.2020.1835685
Publication status	Published - 2022

Keywords

Bitcoin
certainty equivalent return
forecasting
return predictability
time-series momentum

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10.1080/1351847X.2020.1835685

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Cite this

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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.",

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Predictability of bitcoin returns

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Keywords

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