Macroeconomic news and intraday seasonal volatility in the cryptocurrency markets

【Author】 Ben Omrane, Walid; Houidi, Fatma; Savaser, Tanseli

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】We examine the effects of US, German, and Japanese macroeconomic news surprises and monetary policy decisions on the intraday cyclical volatility of Bitcoin and Ethereum markets. We first document intraday seasonality specific to each day of the week and show that these patterns exhibit a slightly different volatility compared to all-day seasonality. Second, the US monetary policy news and macroeconomic surprises generate the largest effect on the seasonal volatility. Third, Ethereum seasonality is more sensitive to macroeconomic fundamentals compared to Bitcoin. These results suggest that to improve cryptocurrency pricing, portfolio management, and risk management practices associated with cryptocurrency transactions, investors should consider the interactions between day of the week effects, intraday seasonality patterns and the macroeconomics news releases.

【Keywords】Cryptocurrency markets; macroeconomic news; seasonality; volatility; high frequency data

【发表时间】2023 2023 MAY 15

【收录时间】2023-06-01

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-数字货币