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

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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.

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Notes

  1. See, for instance, Klein et al. (1991), Jensen et al. (1996), Andersen and Bollerslev (1998), Patelis (1997), Bomfim (2003), Green (2004), Erenburg, Kurov, and Lasser (2006), Wongswan (2006), Brandt and Kavajecz (2004), Bernanke and Kuttner (2005), Boyd, Hu, and Jagannathan (2005), Vega (2006), and Pasquariello and Vega (2007), Rigobon and Sack (2008), Love and Payne (2008), Evans and Lyons (2008), Hanousek et al. (2009), Brenner, Pasquariello and Subrahmanyam (2009), Chen and Gau (2010), Nowak et al. (2011), Hautsch, Hess and Veredas (2011), Rosa (2011), Hussain (2011), and Ben Omrane and Savaser (2016, 2017).

  2. Source: https://coinmarketcap.com/all/views/all/ (visited on October 15, 2020).

  3. See Goutte, Guesmi, and Saadi (2019a, 2019b, 2020) for a thorough review of the relevant literature.

  4. There is evidence that Bitcoin and other cryptocurrencies are interdependent, with a stronger relationship in the short-run than in the long-run (Ciaian et al., 2018). Bouri et al. (2019) also find that price bubbles exist for various cryptocurrencies and are contemporaneously related to each other.

  5. \({J}_{t,i}>{S}_{n}{\beta }^{*}+{C}_{n}\) with \({\beta }^{*}\,\text{such}\,\text{that}\,\mathrm{exp}\left({-\mathrm{e}}^{-{\beta }^{*}}\right)=1-{\upalpha }=0.9\) , consequently \({\beta }^{*}=-\mathrm{ln}\left(-\mathrm{ln}\left(0.9\right)\right)=2.25.\) .

  6. Based on Schwarz and Akaike criteria, we choose P = 4.

  7. The literature show that news has short-lived effects on volatility that would reach two hours (Andersen et al. 2003; Bauwens et al., 2005).

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Acknowledgements

We are grateful to two anonymous reviewers for helpful comments and suggestions. We also benefited from comments offered by Lamia Chourou, Imed Chkir, Sara Ding, Rui Duan, Ligang Zhong, and seminar participants at the Telfer School of Management of the University of Ottawa and Paris School of Business. Samir Saadi gratefully acknowledges financial support from SSHRC Canada. Walid Ben Omrane acknowledge BUAF Explore grant financial support provided by the Office of Research Services at Brock University. We thank Omar Zidan for excellent research assistance. All errors are our own responsibility

Funding

Samir Saadi gratefully acknowledges financial support from SSHRC Canada. Walid Ben Omrane acknowledge BUAF Explore grant financial support from the Office of Research Services at Brock University.

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Authors and Affiliations

  1. Goodman School of Business, Brock University, St. Catharines, ON, Canada

    Walid Ben Omrane

  2. Center of Research for Energy and Climate Change, Paris School of Business, Paris, France

    Khaled Guesmi

  3. Telfer School of Management, University of Ottawa, Ottawa, ON, Canada

    Qi Qianru & Samir Saadi

  4. College of Business Administration, Gulf University for Science & Technology, West Mishref, Kuwait

    Samir Saadi

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Ben Omrane, W., Guesmi, K., Qianru, Q. et al. The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets. Ann Oper Res 330, 177–209 (2023). https://doi.org/10.1007/s10479-021-04353-0

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