Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty

Elie Bouri () and Rangan Gupta

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We compare the ability of a newspaper-based measure and an internet search-based measure of uncertainty in predicting Bitcoin returns. Based on monthly data, we show that Bitcoin is a hedge against both measures. However, the predictive ability of the internet-based economic uncertainty related queries index is statistically stronger than the measure of uncertainty derived from newspapers in predicting Bitcoin returns, which is possibly due to the fact that the former measure of uncertainty is directly obtained by the individual investors, based on their search of the internet for terms related to uncertainty. This result is confirmed by various additional analyses.

Keywords: Bitcoin; Hedging; Predictability; Economic uncertainty; Economic uncertainty related queries (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (20)

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Working Paper: Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319307020

DOI: 10.1016/j.frl.2019.101398

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