On the determinants of bitcoin returns: a LASSO approach

Theodore Panagiotidis, Thanasis Stengos and Orestis Vravosinos

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We examine the significance of twenty-one potential drivers of bitcoin returns for the period 2010 to 2017 (2,533 daily observations). Within a LASSO framework, we examine the effects of factors such as stock market returns, exchange rates, gold and oil returns, FED’s and ECB’s rates and internet trends on bitcoin returns for alternate time periods. Search intensity and gold returns emerge as the most important variables for bitcoin returns.

Keywords: bitcoin; cryptocurrency; exchange rate; returns; LASSO (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2018-02
New Economics Papers: this item is included in nep-pay
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Citations: View citations in EconPapers (111)

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Journal Article: On the determinants of bitcoin returns: A LASSO approach (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18-14

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