Economics at your fingertips  

The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market

Kazeem Isah () and Ibrahim Raheem ()

No 56, Working Papers from Centre for Econometric and Allied Research, University of Ibadan

Abstract: This paper is motivated by the news that the surge in cryptocurrencies is an important candidate to in explaining the plummeting stock markets. To validate this believe, we construct a predictive model in which cryptocurrencies are identified as the predictors of US stock returns. The inherent statistical properties of cryptocurrencies such as persistence, endogeneity, and conditional heteroscedasticity are being accounted for in the Westerlund and Narayan (2015) estimator. Three salient results emanated from our estimations. First, we validated the importance of cryptocurrencies in predicting US stock prices; second, the cryptocurrencies predictive model outperforms the conventional time-series models such as Autoregressive Integrated Moving Average (ARIMA) model and the Autoregressive Fractionally Integrated Moving Average (ARFIMA); third, our results are robust to different method of forecast performance evaluation measures and different sub-sample periods. These results have important policy implications for the investors and policymakers.

Keywords: Stock Prices; Cryptocurrency; Digital Asset Prices; Predictive Model; Forecast Evaluation (search for similar items in EconPapers)
JEL-codes: C52 C53 G11 G14 G17 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2018-05
New Economics Papers: this item is included in nep-fmk, nep-for, nep-ore, nep-pay and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) ... oad&gid=99&Itemid=29 (application/pdf)

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:

Access Statistics for this paper

More papers in Working Papers from Centre for Econometric and Allied Research, University of Ibadan Contact information at EDIRC.
Bibliographic data for series maintained by Adeoye Omosebi ( this e-mail address is bad, please contact ).

Page updated 2021-02-26
Handle: RePEc:cui:wpaper:0056