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
Date Written: January 30, 2021
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: Suggested Citation