Predictability of bitcoin returns. Issue 1 (2nd January 2022)

• Record Type: Journal Article
• Authors: Cheah, Jeremy Eng-Tuck; Luo, Di; Zhang, Zhuang; Sung, Ming-Chien
• Is Part Of: European journal of finance. Volume 28:Issue 1(2022)
• Page Start: 66
• Page End: 85
• Publication Date: 2022-01-02
• Subjects: Bitcoin -- return predictability -- forecasting -- time-series momentum -- certainty equivalent return; C5 -- G1; Finance -- Periodicals; Finance -- Europe -- Periodicals; International finance -- Periodicals; 332.094
• DOI: 10.1080/1351847X.2020.1835685
• Languages: English
• ISSNs: 1351-847X

Abstract

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.