The impact of macroeconomic news on Bitcoin returns

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

doi:10.1080/1351847x.2020.1737168

Cited by 122 publications

(63 citation statements)

References 59 publications

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“…Wang et al (2020a) show that Bitcoin prices represent noticeably higher trading volume and volatility during hours that occur simultaneously with the daytime trading hours of European and US stock markets. More recently, Corbet et al (2020) investigate the connectedness between news coverage and Bitcoin returns and provide evidence of macroeconomic indicators have a significant effect on Bitcoin returns. They also suggest that the developing cryptocurrency market is further maturing through associations with macroeconomic news.…”

Section: Literature Reviewmentioning

confidence: 99%

Bitcoin and CEE stock markets: fresh evidence from using the DECO-GARCH model and quantile on quantile regression

Hung

2021

EJMBE

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PurposeThis study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia).Design/methodology/approachThe dynamic contemporaneous nexus has been analyzed using both the multivariate DECO-GARCH model proposed by Engle and Kelly (2012) and quantile on quantile (QQ) methodology proposed by Sim and Zhou (2015). Our study is implemented using the daily data spanning from 6 September 2012 to 12 August 2019.FindingsFirst, the findings show that the average return equicorrelation across Bitcoin prices and CEE stock indices are positive, even though it is found to be time-varying over the research period shown. Second, the Bitcoin-CEE stock market association has positive signs for most pairs of quantiles of both variables and represents a rather similar pattern for the cases of Poland, the Czech Republic and Croatia. However, a weaker and primarily negative connectedness is found for Hungary and Romania, respectively. Furthermore, the interconnectedness between the co-movements in the Bitcoin market and stock returns changes significantly across quantiles of both variables within each nation, indicating that the Bitcoin-stock market relationship is dependent on both the cycle of the stock market and the nature of Bitcoin price shocks.Practical implicationsThe evidence documented in this study has significant implications for divergent economic agents, including global investors, risk managers and policymakers, who would benefit from a comprehensive knowledge of the Bitcoin-stock market relationship to build efficient risk-hedging models and to conduct appropriate policy reactions to information spillover effects in different time horizons.Originality/valueThis paper is the first study employing both the multivariate DECO-GARCH model and QQ methodology to shed light on the nexus between Bitcoin prices and the stock markets in CEE countries. The DECO model uses more information to compute dynamic correlations between each pair of returns than standard dynamic conditional correlation (DCC) models, declining the estimation noise of the correlations. Besides, QQ approach allows us to capture some nuanced features of the Bitcoin-stock market relationship and explore the interdependence in its entirely. Therefore, the main contribution of this article to the related literature in this field is significant.研究目的本研究旨在探討比特幣的價格與中東歐股市(匈牙利、捷克共和國、波蘭、羅馬尼亞和克羅地亞) 之相互聯繫.研究設計/方法/理念研究使用恩格爾與凱利(2012)(Engle and Kelly (2012)) 提出的多變量DECO-GARCH模型及Sim 與Zhou(2015)(Sim and Zhou ( 2015)) 研製的分位數-分位數方法來分析動態同期的聯繫。我們的研究使用由2012年9月6日至2019年8月12日期間取得的每日數據來進行.研究結果首先、研究結果顯示、跨比特幣價格與中東歐股價指數的平均回報當量關聯是正相關的，即使在研究期間被發現是隨時間而變化的。第二、比特幣與中東歐股市之聯繫在大多數兩變數分位數對而言出現正相關跡象，而且，這聯繫在波蘭、捷克共和國及克羅地亞而言表現一個頗相似的模式。唯就匈牙利而言、這聯繫則較弱、而羅馬尼亞則主要是負聯繫。研究結果亦顯示: 比特幣市場內的聯動與股票回報間之內在關聯會在每個國家內跨兩個變數的分位數而顯著地改變，這顯示比特幣-股市關係是取決於股市的週期和比特幣價格衝擊的本質.實際的意義本研究所記載的證據、對不同的經濟行為者而言極具意義 (這包括國際投資者、風險管理經理和政策制定者)，因他們會受惠於對比特幣-股市關係的全面認識，他們可建立有效的風險對沖模型、及在不同時間範圍對資訊溢出效應進行適當的政策反應.研究的原創性/價值本文為首個研究使用多變量DECO-GARCH模型和分位數-分位數(QQ)方法、來解釋比特幣價格與中東歐國家之股市的關係。這DECO模型使用比標準動態條件關係模型更多資訊，來計算每對回報間之動態關係，這能減少估測雜訊，而且，QQ方法讓我們可以取得比特幣-股市關係的一些細微特徵及全面地探索其相互依賴性。因此，本文的主要貢獻是在這學術領域內有關的文獻上.

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Section: Literature Reviewmentioning

confidence: 99%

Bitcoin and CEE stock markets: fresh evidence from using the DECO-GARCH model and quantile on quantile regression

Hung

2021

EJMBE

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“…The author found significant causation among the variables. Recently, Corbet et al (2020) assessed the relationship between macroeconomic news coverage and Bitcoin returns using regression model and found that the news relating to unemployment and durable goods announcements are found to have significant effect on Bitcoin returns. News relating to GDP and consumer price index do not have significant impact on Bitcoin returns.…”

Section: Review Of Literaturementioning

confidence: 99%

“…These techniques investigate the short-term and long-term relationship between regressors and regress and without taking into account the asymmetric effect for Bitcoin modelling. Corbet et al (2020) pointed out that the Bitcoin price series respond asymmetrically to positive and negative changes in the macroeconomic-financial indicators. Moreover, the pioneering work by Bouri et al (2018) emphasized to apply non-standard (asymmetric) co-integration models to uncover the intricacy and concealed relations between Bitcoin and asset classes.…”

Section: Review Of Literaturementioning

confidence: 99%

Macro-Financial Parameters Influencing Bitcoin Prices: Evidence from Symmetric and Asymmetric ARDL Models

Srinivasan

Maity

Kumar

2021

REA

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Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL) models with structural breaks. The asymmetric long-run association ascertained between Bitcoin prices and the macroeconomic-financial indicators is evident. Our empirical results indicate that the Bitcoin cannot be used to hedge against the inflation, Federal funds rate, stock markets and commodity markets. We further find that Bitcoin can be regarded as a hedging device for the oil prices. Our findings have significant implications for market participants who consider including alternate investment assets in their portfolios.

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“…While the main stream of cryptocurrency research is currently focused on the dilemma as to whether this is a currency or speculative asset (Baur et al [2018]); and conducting analysis of the multiple forms of pricing inefficiencies (Urquhart [2017]; Sensoy [2019]; Mensi et al [2019]; Katsiampa et al [2019]), have provided a concise systematic review of the literature associated with cryptocurrency markets at large, and note that more research is needed to assess environmental and energy use issues. As this new financial product continues to develop through improved market efficiency (Ekinci et al [2019]; Corbet et al [2020b]) and portfolio design (Akhtaruzzaman et al [2019]; Corbet et al [2018]), it is imperative that we continue to understand the true risks associated. While considering the broad improvement in pricing efficiency and market efficiency, indicative of a rapidly developing financial market product, our paper assesses the financial long terms impacts of Bitcoin energy usage.…”

Section: Previous Literaturementioning

confidence: 99%

The environmental effects of cryptocurrencies

Corbet¹,

Yarovaya²

2020

Cryptocurrency and Blockchain Technology

Self Cite

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This chapter discusses the environmental aspects of cryptocurrency markets and as to how their rapid growth can influence the environment and through which channels this process manifests.While it is not popular discussion among investors, we find that environmental issues can be of interest by wider society, students, policy makers and stakeholders of FinTech companies. Environmentalism has a long history, and controversy around this subject is remains quite substantial, thus to not make our discussion over-complicated, in this chapter we will focus on the area where to date, we possess the most thorough data and evidence through which we can build the case, namely electricity consumption associated with the mining of cryptocurrencies. The total carbon footprint of the industry is now estimated to have surpassed that of many large industrial nations. This chapter investigates the multiple knock-on effects and consequential behaviour of this rapid growth in energy usage, such as an increase in global temperature, the growth of mining companies who have targeted third world infrastructures, and the complete shutdown of the internet as we know it. Saying that, we encourage investors not to ignore these environmentalism matters, since we also show that electricity consumption is proven to be one of the commonly used variable in valuation of mineable cryptocurrencies and identification of their fair value, which affect investments returns and should be considered in their trading strategies.

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The impact of macroeconomic news on Bitcoin returns

Cited by 122 publications

References 59 publications

Bitcoin and CEE stock markets: fresh evidence from using the DECO-GARCH model and quantile on quantile regression

Bitcoin and CEE stock markets: fresh evidence from using the DECO-GARCH model and quantile on quantile regression

Macro-Financial Parameters Influencing Bitcoin Prices: Evidence from Symmetric and Asymmetric ARDL Models

The environmental effects of cryptocurrencies

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