The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets

Ben Omrane, Wa., Guesmi, K., Qi, Q., and Saadi, S. (2021). The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets. Accepted for publication in the Annals of Operations Research.

45 Pages Posted: 1 Oct 2021 Last revised: 3 Nov 2021

See all articles by Walid Ben Omrane

Walid Ben Omrane

Brock University - Department of Finance, Operations and Information Systems (FOIS)

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change

Qianru Qi

Telfer School of Management

Samir Saadi

University of Ottawa - Telfer School of Management

Date Written: January 30, 2021

Abstract

This study investigates the extent to which intra-day 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 intra-day 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.

JEL Classification: C13, G12, G15

Suggested Citation

Ben Omrane, Walid and Guesmi, Khaled and Qi, Qianru and Saadi, Samir, The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets (January 30, 2021). Ben Omrane, Wa., Guesmi, K., Qi, Q., and Saadi, S. (2021). The High-Frequency Impact of Macroeconomic News on Jumps and Co-Jumps in the Cryptocurrency Markets. Accepted for publication in the Annals of Operations Research., Available at SSRN: https://ssrn.com/abstract=3915116 or http://dx.doi.org/10.2139/ssrn.3915116

Walid Ben Omrane

Brock University - Department of Finance, Operations and Information Systems (FOIS) ( email )

Ontario, L2S 3A1
Canada

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change ( email )

France

Qianru Qi

Telfer School of Management ( email )

Ottawa, Ontario
Canada
6136186781 (Phone)

Samir Saadi (Contact Author)

University of Ottawa - Telfer School of Management ( email )

136 Jean-Jacques Lussier Street
Ottawa, Ontario K1N 6N5
Canada

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