Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis

Walid Ben Omrane, Halim Dabbou, Samir Saadi, Tanseli Savaser and Saber Sebai

International Review of Economics & Finance, 2025, vol. 103, issue C

Abstract: We examine how Bitcoin and Ethereum volatilities react to macroeconomic data releases from the US, Germany, and Japan before, during, and after their official announcements. Analyzing 5-minute observations from 2016 to 2023, we find that volatility responds significantly to select news categories, particularly in the pre-announcement period. US monetary policy news consistently drives volatility across all phases, with a heightened impact during the pandemic. Ethereum shows greater sensitivity to US announcements than Bitcoin but remains unresponsive to non-US news, especially before the pandemic. Our findings highlight the need to account for both pre- and post-announcement periods when evaluating the intraday price impact of macroeconomic news on cryptocurrencies.

Keywords: Bitcoin; Ethereum; Macroeconomic News; Volatility; Covid-19 pandemic; High-frequency data (search for similar items in EconPapers)
JEL-codes: F31 G1 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006720

DOI: 10.1016/j.iref.2025.104509

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