The impact of macroeconomic news on Bitcoin returns
By Shaen Corbet, C. Larkin, Brian M. Lucey, Andrew Meegan, L. Yarovaya. European Journal of Finance, 2020
134 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Information Systems
View Paper: https://www.semanticscholar.org/paper/6cef270e43bc9d7bad851e05af6d5db1d19d4b44
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In Economics and Econometrics
- Shaen Corbet
- Brian M. Lucey
- C. Larkin
- L. Yarovaya
- Ender Demir
- Andrew Urquhart
- Paraskevi Katsiampa
- G. Danisman
In Finance
In Information Systems
- Shaen Corbet
- Brian M. Lucey
- C. Larkin
- Paraskevi Katsiampa
- L. Yarovaya
- Andrew Urquhart
- Ender Demir
- G. Danisman
Citations in the corpus
- The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, unknown): “While hedging and safe haven properties of cryptocurrencies remains a dominant theme of the early COVID-19 literature in finance (e.g., Corbet et al., 2020a, Conlon and McGee, 2020), substantial empirical evidence has also been collected to suggest financial contagion and spillover effect between…”
- The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020, background): “Through the inclusion of these Chinese financial markets, denoted as the epicentre of the COVID-19 pandemic, the Dow Jones Industrial Average as a measure of international financial performance (Ekinci et al. [2019]), West Texas Intermediate oil and gold as international flight to safety assets (Aky”