Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?

Camilla Muglia, Luca Santabarbara and Stefano Grassi
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Camilla Muglia: Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy
Luca Santabarbara: Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy
Stefano Grassi: Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy

JRFM, 2019, vol. 12, issue 2, 1-10

Abstract: The paper investigates whether Bitcoin is a good predictor of the Standard & Poor’s 500 Index. To answer this question we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS). According to our results, Bitcoin does not show any direct impact on the predictability of Standard & Poor’s 500 for the considered sample.

Keywords: cryptocurrency; Bitcoin; forecasting; point forecast; density forecast; dynamic model averaging; dynamic model selection; forgetting factors (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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