The impact of macroeconomic news on Bitcoin returns

Shaen Corbet, Charles Larkin, Brian M. Lucey, Andrew Meegan, Larisa Yarovaya

Research output: Contribution to journalArticlepeer-review

60 Citations (SciVal)


This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodity prices and interest rates. We construct a sentiment index based on news stories that follow the announcements of four macroeconomic indicators: GDP, unemployment, Consumer Price Index (CPI) and durable goods. By controlling for a number of potential biases we determine as to whether each of the series' have a significant impact on Bitcoin returns. While an increase in positive news surrounding unemployment rates and durable goods would typically result in a corresponding increase in equity returns, we observe the opposite to be true in the case of Bitcoin. Increases in positive news after unemployment and durable goods announcements result in a decrease in Bitcoin returns. Conversely, an increase in the percentage of negative news surrounding these announcements is linked with an increase in Bitcoin returns. News relating to GDP and CPI are found not to have any statistically significant relationships with Bitcoin returns. Our results indicate that this developing cryptocurrency market is further maturing through interactions with macroeconomic news.
Original languageEnglish
Pages (from-to)1396-1416
JournalThe European Journal of Finance
Issue number14
Early online date9 Mar 2020
Publication statusPublished - 31 Dec 2020


  • Cryptocurrencies
  • macroeconomic news
  • return volatility
  • sentiment

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)


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