IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v330y2023i1d10.1007_s10479-021-04353-0.html
   My bibliography  Save this article

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

Author

Listed:
  • Walid Ben Omrane

    (Brock University)

  • Khaled Guesmi

    (Paris School of Business)

  • Qi Qianru

    (Telfer School of Management, University of Ottawa)

  • Samir Saadi

    (Telfer School of Management, University of Ottawa
    Gulf University for Science & Technology)

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.

Suggested Citation

  • Walid Ben Omrane & Khaled Guesmi & Qi Qianru & Samir Saadi, 2023. "The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets," Annals of Operations Research, Springer, vol. 330(1), pages 177-209, November.
    • Handle: RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04353-0
    DOI: 10.1007/s10479-021-04353-0
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10479-021-04353-0
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10479-021-04353-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-021-04353-0. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.