Bitcoin Return Prediction: Relevant Factors Determining Return

Abstract

Cryptocurrencies with Bitcoin being the most well-known, are volatile in price. Being able to predict or speculate price movements in Cryptocurrencies would then be meaningful for researchers and lucrative for investors. This paper hypothesized relevant factors that may determine return of Bitcoin, namely Bitcoin price data, google trend and precious metal price data, and collects data for the past 6 years. After regrouping and processing the data, a regression model is used to test the strengths of predictability of each possible factor. The results reveal that Bitcoin price data is a valid predictor of daily Bitcoin return, google trend or search volume is valid only for weekly return predictions, and precious metal prices do not have a significant relationship with Bitcoin return.