Predictability of bitcoin returns

Cheah, J. ORCID: 0000-0003-2953-3815, 2020. Predictability of bitcoin returns. European Journal of Finance. (Forthcoming)

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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
Publication Title: European Journal of Finance
Creators: Cheah, J.
Publisher: Taylor and Francis
Date: 6 October 2020
Identifiers:
NumberType
1374791Other
Divisions: Schools > Nottingham Business School
Record created by: Linda Sullivan
Date Added: 14 Oct 2020 08:07
Last Modified: 14 Oct 2020 08:07
URI: http://irep.ntu.ac.uk/id/eprint/41292

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