On the determinants of bitcoin returns: A LASSO approach

By Theodore Panagiotidis, Thanasis Stengos, Orestis Vravosinos. Finance Research Letters, 2018

191 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/0aa954fd1cfc4b6e4a3332fdbffad4ad551d9581

How researchers see this paper

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In Economics and Econometrics

1. Sowmya Subramaniam
2. Anamika
3. Madhumita Chakraborty

In Information Systems

1. Sowmya Subramaniam
2. Anamika
3. Madhumita Chakraborty

Citations in the corpus

• A systematic review of the bubble dynamics of cryptocurrency prices (2020, unknown): “Panagiotidis et al. [2018] investigated using a LASSO framework, the influence on Bitcoin prices of factors such as stock market returns, exchange rates, gold and oil returns, the Federal Reserve and ECB’s rates and internet trends on Bitcoin returns for alternate time periods.”
• Does Sentiment Impact Cryptocurrency? (2021, methodology): “The earlier studies investigated the impact of sentiment on cryptocurrency prices using various proxies such as Google search trends (Panagiotidis, Stengos, and Vravosinos 2018), Wikipedia search results (Kristoufek 2013), news sentiment (Karalevicius, Degrande, and De Weerdt 2018), Twitter…”