On the determinants of bitcoin returns: A LASSO approach

被引：128
作者：
Panagiotidis, Theodore [1 ]
Stengos, Thanasis [2 ]
Vravosinos, Orestis [3 ]
机构：
[1] Univ Macedonia, Thessaloniki, Greece
[2] Univ Guelph, Guelph, ON, Canada
[3] Barcelona Grad Sch Econ, Barcelona, Spain
来源：
FINANCE RESEARCH LETTERS | 2018年 / 27卷
关键词：
Bitcoin; Cryptocurrency; Exchange rate; Returns; LASSO; REGRESSION SHRINKAGE; INTERDEPENDENCE; SELECTION;
D O I：
10.1016/j.frl.2018.03.016
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：235 / 240
页数：6
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