Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
| Authors | |
|---|---|
| Year of publication | 2020 |
| Type | Article in Periodical |
| Magazine / Source | JOURNAL OF ECONOMIC DYNAMICS AND CONTROL |
| MU Faculty or unit | |
| Citation | |
| Web | https://www.sciencedirect.com/science/article/pii/S0165188920301482 |
| Doi | http://dx.doi.org/10.1016/j.jedc.2020.103980 |
| Keywords | Bitcoin; Volatility; Regulations; Hacking attacks; Macroeconomic news; |
| Attached files | |
| Description | We study whether news and sentiment about bitcoin regulation, the hacking of bitcoin exchanges and scheduled macroeconomic news announcements affect the volatility of bitcoin, measured as realized variance and its jump component. Our results show that realized variance and its jump component exhibit similar dynamics and react similarly to various types of news. Volatility of bitcoin reacts most strongly to news on bitcoin regulation, positive investor sentiment regarding bitcoin regulation extracted using Google searches, and most notably, hacking attacks on cryptocurrency exchanges. Quantile regression reveals that hacking attacks have particularly strong impact on the upper conditional distribution of bitcoin volatility. We also find that the volatility of bitcoin is not influenced by most scheduled US macroeconomic news announcements, such as government budget deficits, inflation, or even monetary policy announcements. On the other hand, bitcoin responds with increased volatility to announcements of forward-looking indicators, such as the consumer confidence index. |
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