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The impact of macroeconomic news on Bitcoin returns

The impact of macroeconomic news on Bitcoin returns
The impact of macroeconomic news on Bitcoin returns
This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodity prices and interest rates. We construct a sentiment index based on news stories that follow the announcements of four macroeconomic indicators: GDP, unemployment, Consumer Price Index (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. While an increase in positive news surrounding unemployment rates and durable goods would typically result in a corresponding increase in equity returns, we observe the opposite to be true in the case of Bitcoin. Increases in positive news after unemployment and durable goods announcements result in a decrease in Bitcoin returns. Conversely, an increase in the percentage of negative news surrounding these announcements is linked with an increase in Bitcoin returns. News relating to GDP and CPI are found not to have any statistically significant relationships with Bitcoin returns. Our results indicate that this developing cryptocurrency market is further maturing through interactions with macroeconomic news
Bitcoin, Cryptocurrency, macroeconomic news, Volatility
1351-847X
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Meegan, Andrew
1769c57f-7511-4d6d-8858-2e741fcb6a14
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Meegan, Andrew
1769c57f-7511-4d6d-8858-2e741fcb6a14
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Corbet, Shaen, Larkin, Charles, Lucey, Brian, Meegan, Andrew and Yarovaya, Larisa (2020) The impact of macroeconomic news on Bitcoin returns. European Journal of Finance. (doi:10.2139/ssrn.3550842).

Record type: Article

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, commodity prices and interest rates. We construct a sentiment index based on news stories that follow the announcements of four macroeconomic indicators: GDP, unemployment, Consumer Price Index (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. While an increase in positive news surrounding unemployment rates and durable goods would typically result in a corresponding increase in equity returns, we observe the opposite to be true in the case of Bitcoin. Increases in positive news after unemployment and durable goods announcements result in a decrease in Bitcoin returns. Conversely, an increase in the percentage of negative news surrounding these announcements is linked with an increase in Bitcoin returns. News relating to GDP and CPI are found not to have any statistically significant relationships with Bitcoin returns. Our results indicate that this developing cryptocurrency market is further maturing through interactions with macroeconomic news

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Accepted/In Press date: 11 February 2020
e-pub ahead of print date: 2 April 2020
Keywords: Bitcoin, Cryptocurrency, macroeconomic news, Volatility

Identifiers

Local EPrints ID: 439058
URI: http://eprints.soton.ac.uk/id/eprint/439058
ISSN: 1351-847X
PURE UUID: 70373a35-c551-4f03-8598-f69d3b8ff7e2
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

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Date deposited: 02 Apr 2020 16:32
Last modified: 13 Dec 2021 05:54

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Contributors

Author: Shaen Corbet
Author: Charles Larkin
Author: Brian Lucey
Author: Andrew Meegan
Author: Larisa Yarovaya ORCID iD

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