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Cheah, J. 
ORCID: 0000-0003-2953-3815,
2022.
Predictability of bitcoin returns.
European Journal of Finance, 28 (1), pp. 66-85.
ISSN 1351-847X
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Official URL: https://doi.org/10.1080/1351847X.2020.1835685
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. JEL Classification: C5; G1
| Item Type: | Journal article | ||||||
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| Publication Title: | European Journal of Finance | ||||||
| Creators: | Cheah, J. | ||||||
| Publisher: | Taylor and Francis | ||||||
| Date: | 2022 | ||||||
| Volume: | 28 | ||||||
| Number: | 1 | ||||||
| ISSN: | 1351-847X | ||||||
| Identifiers: |
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| Divisions: | Schools > Nottingham Business School | ||||||
| Record created by: | Linda Sullivan | ||||||
| Date Added: | 14 Oct 2020 08:07 | ||||||
| Last Modified: | 23 May 2022 07:51 | ||||||
| URI: | https://irep.ntu.ac.uk/id/eprint/41292 |
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