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Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?

Author

Listed:
  • Camilla Muglia

    (Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy)

  • Luca Santabarbara

    (Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy)

  • Stefano Grassi

    (Department of Economics and Finance, University of Rome ’Tor Vergata’, Via Columbia 2, 00133 Rome, Italy)

Abstract

The paper investigates whether Bitcoin is a good predictor of the Standard & Poor’s 500 Index. To answer this question we compare alternative models using a point and density forecast relying on Dynamic Model Averaging (DMA) and Dynamic Model Selection (DMS). According to our results, Bitcoin does not show any direct impact on the predictability of Standard & Poor’s 500 for the considered sample.

Suggested Citation

  • Camilla Muglia & Luca Santabarbara & Stefano Grassi, 2019. "Is Bitcoin a Relevant Predictor of Standard & Poor’s 500?," JRFM, MDPI, vol. 12(2), pages 1-10, May.
    • Handle: RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:93-:d:235917
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    References listed on IDEAS

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    Cited by:

    1. Nicolás Magner & Nicolás Hardy, 2022. "Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle," Mathematics, MDPI, vol. 10(13), pages 1-27, July.
    2. Yutaka Kurihara & Akio Fukushima & Shinichiro Maeda, 2020. "Can Bitcoin’S Price Be A Predictor Of Stock Prices?," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 5(4), pages 50-55, April.
    3. Rick Bohte & Luca Rossini, 2019. "Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models," JRFM, MDPI, vol. 12(3), pages 1-18, September.

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