Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor

【Author】 He, Mengxi; Shen, Lihua; Zhang, Yaojie; Zhang, Yi

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper uses a daily updated and accessible Crypto Fear and Greed Index (FG) to predict cryptocurrency returns. Investors can easily use return predictions from FG for real-world cryptocurrency investments. Empirical results show that FG has significant in-sample and out-ofsample predictive power at forecast horizons ranging from one day to one week. The predictive power of FG exists for individual cryptocurrencies and different market indices. From an investment perspective, we use different evaluation indicators and demonstrate that FG can bring substantial economic benefits to investors with different degrees of risk aversion.

【Keywords】Cryptocurrency; Return prediction; Asset allocation; Economic value; Investor sentiment

【发表时间】2023 DEC

【收录时间】2023-10-02

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-数字货币