Predictability of bitcoin returns

Cheah, J ORCID: https://orcid.org/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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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:	2022
Volume:	28
Number:	1
ISSN:	1351-847X
Identifiers:	Number Type 10.1080/1351847X.2020.1835685 DOI 1374791 Other
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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