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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
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    References listed on IDEAS

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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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