 Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?Vasilios Plakandaras, Elie Bouri () and Rangan Gupta No 201980, Working Papers from University of Pretoria, Department of Economics Abstract: Previous studies provide evidence that trade related uncertainty tends to predict an increase in Bitcoin returns. In this paper, we extend the related literature by examining whether the information on the U.S. – China trade war can be used to forecast the future path of Bitcoin returns controlling for various explanatory variables. We apply ordinary least square (OLS) regression, support vector regression (SVR), and the least absolute shrinkage and selection operator (LASSO) techniques that stem from the field of machine learning, and find weak evidence of the role of the trade war in forecasting Bitcoin returns. Given that out-of-sample tests are more reliable than in-sample tests, our results tend to suggest that future Bitcoin returns are unaffected by trade related uncertainties, and investors can use Bitcoin as a safe haven in this context. Keywords: Bitcoin; forecasting; machine learning; U.S. – China trade war (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201980 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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