Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis

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. • We examine the response of Bitcoin and Ethereum volatilities to macroeconomic figures. • We show that volatility reacts only to a few news categories. • US monetary policy news consistently affects volatility before, during, and after its release. • Ethereum volatility is more sensitive to US announcements compared to Bitcoin. • Ethereum exhibits less pre-announcement volatility and less sensitivity to non-US news.