TY - JOUR
T1 - Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis
AU - Ben Omrane, Walid
AU - Dabbou, Halim
AU - Saadi, Samir
AU - Savaser, Tanseli
AU - Sebai, Saber
N1 - Publisher Copyright:
© 2025 The Authors
PY - 2025
Y1 - 2025
N2 - We examine how Bitcoin and Ethereum volatilities react to macroeconomic data releases from the US, Germany, and Japan before, during, and after their official announcements. Analyzing 5-minute observations from 2016 to 2023, we find that volatility responds significantly to select news categories, particularly in the pre-announcement period. US monetary policy news consistently drives volatility across all phases, with a heightened impact during the pandemic. Ethereum shows greater sensitivity to US announcements than Bitcoin but remains unresponsive to non-US news, especially before the pandemic. Our findings highlight the need to account for both pre- and post-announcement periods when evaluating the intraday price impact of macroeconomic news on cryptocurrencies.
AB - We examine how Bitcoin and Ethereum volatilities react to macroeconomic data releases from the US, Germany, and Japan before, during, and after their official announcements. Analyzing 5-minute observations from 2016 to 2023, we find that volatility responds significantly to select news categories, particularly in the pre-announcement period. US monetary policy news consistently drives volatility across all phases, with a heightened impact during the pandemic. Ethereum shows greater sensitivity to US announcements than Bitcoin but remains unresponsive to non-US news, especially before the pandemic. Our findings highlight the need to account for both pre- and post-announcement periods when evaluating the intraday price impact of macroeconomic news on cryptocurrencies.
U2 - 10.1016/j.iref.2025.104509
DO - 10.1016/j.iref.2025.104509
M3 - Article
JO - International Review of Economics & Finance
JF - International Review of Economics & Finance
ER -