Forecasting Bitcoin returns: is there a role for the US–China trade war?

Previous studies have provided evidence that trade-related uncertainty tends to predict an increase in Bitcoin returns. In this paper, we extend the related literature by examining whether information on US–China trade war can be used forecast future path of returns, controlling for various explanatory variables. We apply ordinary least square (OLS) regression, support vector regression (SVR) and absolute shrinkage selection operator (LASSO) techniques stem from field machine learning, find weak role forecasting Given out-of-sample tests are more reliable than in-sample tests, our results tend suggest returns unaffected uncertainties, investors use as a safe haven context.