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Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis

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Listed:
  • Ben Omrane, Walid
  • Dabbou, Halim
  • Saadi, Samir
  • Savaser, Tanseli
  • Sebai, Saber

Abstract

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.

Suggested Citation

  • Ben Omrane, Walid & Dabbou, Halim & Saadi, Samir & Savaser, Tanseli & Sebai, Saber, 2025. "Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis," International Review of Economics & Finance, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006720
    DOI: 10.1016/j.iref.2025.104509
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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G1 - Financial Economics - - General Financial Markets

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