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Tuning into the news: Sentiment-driven high-frequency movements in cryptocurrency markets

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  • Huynh, Nhan

Abstract

This study examines how cryptocurrency markets respond to U.S. macroeconomic announcements, with particular emphasis on the moderating role of cryptocurrency-specific investor sentiment. Using high-frequency intraday data on the top 100 cryptocurrencies, we document that returns and trading activity respond sharply and immediately to macroeconomic news. These responses vary systematically across announcement categories, highlighting the sensitivity of crypto markets to distinct macroeconomic signals. Crucially, market reactions are significantly conditioned by investor sentiment, indicating that sentiment plays a meaningful role in shaping how cryptocurrency markets respond to macroeconomic information. These patterns are robust across alternative sentiment measures, subsample analyses, model specifications, and macroeconomic announcements from other major economies. Overall, our findings contribute to the literature by offering the first large-scale, high-frequency evidence that cryptocurrency-specific investor sentiment plays a central role in shaping market responses to macroeconomic news.

Suggested Citation

  • Huynh, Nhan, 2026. "Tuning into the news: Sentiment-driven high-frequency movements in cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:beexfi:v:50:y:2026:i:c:s2214635026000456
    DOI: 10.1016/j.jbef.2026.101183
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    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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