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On the determinants of bitcoin returns: A LASSO approach

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  • Panagiotidis, Theodore
  • Stengos, Thanasis
  • Vravosinos, Orestis

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.

Suggested Citation

  • Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2018. "On the determinants of bitcoin returns: A LASSO approach," Finance Research Letters, Elsevier, vol. 27(C), pages 235-240.
    • Handle: RePEc:eee:finlet:v:27:y:2018:i:c:p:235-240
    DOI: 10.1016/j.frl.2018.03.016
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    More about this item

    Keywords

    Bitcoin; Cryptocurrency; Exchange rate; Returns; LASSO;
    All these keywords.

    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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