Predictability of bitcoin returns

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

The European Journal of Finance, 2022, vol. 28, issue 1, 66-85

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.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2020.1835685 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:28:y:2022:i:1:p:66-85

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/1351847X.2020.1835685

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().