The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets

Walid Ben Omrane (), Khaled Guesmi (), Qi Qianru () and Samir Saadi ()
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Walid Ben Omrane: Brock University
Khaled Guesmi: Paris School of Business
Qi Qianru: Telfer School of Management, University of Ottawa
Samir Saadi: Telfer School of Management, University of Ottawa

Annals of Operations Research, 2023, vol. 330, issue 1, No 7, 177-209

Abstract: Abstract This study investigates the extent to which intraday price jumps and co-jumps in cryptocurrency markets stem from the release of macroeconomic news from the U.S., Germany and Japan. Using 5-min frequency prices for Bitcoin and Ethereum quoted against the U.S. dollar over the 2016–2019 period, we find that intraday price jumps are three times more frequent in Ethereum than in Bitcoin. More importantly, we show that jumps in Ethereum are more sensitive to macroeconomic news than jumps in Bitcoin, and that U.S. news releases exhibit higher influence on jumps in both cryptocurrencies than German and Japanese news announcements. We also find that co-jumps among Bitcoin and Ethereum are scarce and tend be associated only with a few U.S. news announcements, and in particular those related to the unemployment rate, new home sales, housing starts and Fed Beige Book.

Keywords: Macroeconomic news; Jumps; Co-jumps; Bitcoin; Ethereum; High frequency data (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10479-021-04353-0

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