The Volatility Generating Effects of Macroeconomic News on Cryptocurrency Returns

30 Pages Posted: 20 Mar 2018

See all articles by Shaen Corbet

Shaen Corbet

Dublin City University ; University of Waikato - Management School

Charles James Larkin

Institute for Policy Research (IPR), University of Bath; Trinity College Dublin

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Jiangxi University of Finance and Economics; Abu Dhabi University - College of Business Administration; Ho Chi Minh City University of Economics and Finance

Andrew Meegan

Dublin City University Business School

Larisa Yarovaya

University of Southampton - Southampton Business School

Date Written: March 16, 2018

Abstract

This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodities and interest rates. We extend the approach developed by Birz and Lott [2011] to examine the hypothesis that Bitcoin returns are similarly affected by macroeconomic news announcements. We construct a sentiment index based on news stories that follow the announcements of four macroeconomic indicators: GDP, unemployment, CPI and durable goods. By controlling for a number of potential biases we determine as to whether each of the series’ have a significant impact on Bitcoin returns. News relating to unemployment and durable goods announcements are found to be significantly linked to Bitcoin returns.

Keywords: Cryptocurrencies; Macroeconomic News; Return volatility

JEL Classification: G10; G14; E44

Suggested Citation

Corbet, Shaen and Larkin, Charles James and Lucey, Brian M. and Meegan, Andrew and Yarovaya, Larisa, The Volatility Generating Effects of Macroeconomic News on Cryptocurrency Returns (March 16, 2018). Available at SSRN: https://ssrn.com/abstract=3141986 or http://dx.doi.org/10.2139/ssrn.3141986

Shaen Corbet (Contact Author)

Dublin City University ( email )

Dublin 9
Ireland

University of Waikato - Management School ( email )

Hamilton
New Zealand

Charles James Larkin

Institute for Policy Research (IPR), University of Bath ( email )

10 West
Claverton Down
Bath, BA2 7AY
United Kingdom

Trinity College Dublin ( email )

AAP College Green
Dublin 2
Ireland

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Abu Dhabi University - College of Business Administration ( email )

PO Box 59911
Abu Dhabi, Abu Dhabi 59911
United Arab Emirates

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Andrew Meegan

Dublin City University Business School ( email )

Dublin 9
Ireland

Larisa Yarovaya

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

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