Predictability of bitcoin returns

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.

Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies

“…In this subsection, we use alternative measures of volatility in our regressions. Cheah et al (2020) show that the forward-looking implied volatility (VIX) from S&P index options can predict Bitcoin returns. Cao et al (2005) and Garlappi et al (2007) suggest the role of the volatility of mean in ambiguity.…”

“…Jondeau et al (2019) find that average skewness can predict stock market returns. Cheah et al (2020) examine the role of skewness and kurtosis in Bitcoin return predictability. Brandt and Kang (2004) and Brenner and Izhakian (2018) argue that ambiguity can be related to the volatility of volatility.…”

Financial inclusion and financial technology: finance for everyone?

“…As demonstrated by Shao and Bo (2021) and Caglayan et al (2021), the behavioural difference can predict outcomes on P2P platforms. The paper by Cheah et al (2021) shows how to predict Bitcoin returns, which will be of interest to academics and practitioners. Demir et al (2021) contend that financial inclusion significantly reduces inequality -but this effect seems to be stronger in high-income countries.…”

Do crude oil, gold and the US dollar contribute to Bitcoin investment decisions? An ANN-DCC-GARCH approach

“…Consequently, financial institutions and investors are increasingly attracted to the BTC market. There is also the fact that BTC is a high-risk, high-return financial asset (Baek and Elbeck, 2015; Huang et al ., 2019; Cheah et al ., 2022). During the COVID-19 pandemic, which is 2021, the BTC price exceeds $68,000 per coin.…”