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Are bitcoin returns predictable?

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dc.contributor.author Anavatan, Aygül
dc.contributor.author Yalçın Kayacan, Eda
dc.date.accessioned 2019-12-25T13:55:23Z
dc.date.available 2019-12-25T13:55:23Z
dc.date.issued 2018
dc.identifier.issn 978-605-67622-3-9
dc.identifier.uri http://hdl.handle.net/11499/28235
dc.description.abstract Bitcoin is the most radical of the cryptocurrencies which are becoming popular nowadays. The advantage of the cryptocurrencies is that they are decentralized systems so do not need central banks. The purpose of this study is to determine if there is volatility in the returns of Bitcoin and if so, whether it is predictable. The volatility of the Bitcoin returns was investigated using the log-normal stochastic volatility (SV) model and SV model with leverage for daily data covering the period between 19.12.2011 and 29.01.2018. While there is no significant leverage effect in the Bitcoin returns, it can be said that the volatility is permanent and unpredictable. The unpredictability of Bitcoin returns’ fluctuations suggests that it is risky to use it as an investment tool or currency. It is increasing day by day that Bitcoin takes place of banknotes or digital money, which are conventional means of payment. The more widespread the system, the safer and the more resistant to speculative it will be. tr_TR
dc.language.iso en tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Bitcoin, log-normal stochastic volatility model, stochastic volatility model with leverage, leverage effect tr_TR
dc.title Are bitcoin returns predictable? tr_TR
dc.type conferenceObject tr_TR
dc.source.title 25th Eurasia Business and Economics Society (EBES) Conference tr_TR

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