On the determinants of bitcoin returns: A LASSO approach

【Author】 Panagiotidis, Theodore; Stengos, Thanasis; Vravosinos, Orestis

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine the significance of twenty-one potential drivers of bitcoin returns for the period 2010-2017 (2533 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.

【Keywords】Bitcoin; Cryptocurrency; Exchange rate; Returns; LASSO

【发表时间】2018 DEC

【收录时间】2022-01-02

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