Can stock sectors predict Bitcoin returns?
No Thumbnail Available
School of Business | Bachelor's thesis
AbstractI INVESTIGATE WHETHER THE returns of GICS sectors in the US predict Bitcoin price movements in short term. Sectors that can predict Bitcoin returns significantly with one day lag are information technology, utilities, consumer discretionary, energy, consumer staples, and communication services sectors. On the other hand, sector returns with a one-month lag do not provide any significant predictability to Bitcoin’s prices. As big companies have earlier been found leading small company returns in stock markets, I find only a modest difference between big or small companies leading daily Bitcoin returns. As an exception, when considering trading volumes controlling for size, large capitalized companies with high trading volume do predict Bitcoin returns better when compared to big companies with low trading volume or small companies with high or small trading volume. These findings indicate that when considering daily and monthly returns, only daily returns provide significant predictability power. The size of the company matters when the trading volume of the stock sector is considered as well.
Thesis advisorJoenväärä, Juha
Bitcoin, GICS, digital currencies, efficiency, information