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On the determinants of bitcoin returns: a LASSO approach

Author

Listed:
  • Theodore Panagiotidis

    () (Department of Economics, University of Macedonia, Greece; Rimini Centre for Economic Analysis)

  • Thanasis Stengos

    (University of Guelph, Canada; Rimini Centre for Economic Analysis)

  • Orestis Vravosinos

    (Barcelona Graduate School of Economics, Spain)

Abstract

We examine the significance of twenty-one potential drivers of bitcoin returns for the period 2010 to 2017 (2,533 daily observations). Within a LASSO framework, we examine the effects of factors such as stock market returns, exchange rates, gold and oil returns, FED’s and ECB’s rates and internet trends on bitcoin returns for alternate time periods. Search intensity and gold returns emerge as the most important variables for bitcoin returns.

Suggested Citation

  • Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "On the determinants of bitcoin returns: a LASSO approach," Working Paper series 18-14, Rimini Centre for Economic Analysis.
  • Handle: RePEc:rim:rimwps:18-14
    as

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    References listed on IDEAS

    as
    1. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
    2. Stephen Matteo Miller, 2012. "Booms and Busts as Exchange Options," Multinational Finance Journal, Multinational Finance Journal, vol. 16(3-4), pages 189-223, September.
    3. Robert Tibshirani, 2011. "Regression shrinkage and selection via the lasso: a retrospective," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(3), pages 273-282, June.
    4. Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Granger causality stock market networks: Temporal proximity and preferential attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.
    5. Kent G. Becker & Joseph E. Finnerty & Alan L. Tucker, 1992. "The Intraday Interdependence Structure Between U.S. And Japanese Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(1), pages 27-37, March.
    6. Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, vol. 20(C), pages 192-198.
    7. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1305-1331, October.
    8. repec:eee:finlet:v:16:y:2016:i:c:p:85-92 is not listed on IDEAS
    9. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    bitcoin; cryptocurrency; exchange rate; returns; LASSO;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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