Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets

Research on cryptocurrencies has proliferated in recent years. Our research objective was to answer the question of whether macroeconomic news from the U.S. affects Bitcoin in the same way it affects other common investment assets such as gold, the S&P 500, 2-year Treasury bills, and 10-year Treasury bills. Following previous research, seven macroeconomic news announcements from the U.S. were selected, and an empirical analysis of the daily returns, volatility, and volume of the selected assets was conducted. The results show that while Bitcoin is the most volatile (i.e., riskiest) of all the assets, the expected direction of movement is visible after the official announcement of the macroeconomic news on that day, and is comparable to that of the 2-year Treasury bills. It is also evident that the trading volume of Bitcoin does not change, unlike other assets, suggesting that the price of Bitcoin is always moved by the same players, indicating the closed and, therefore, riskier nature of cryptocurrency markets. Finally, we found evidence that the impact of macroeconomic announcements on Bitcoin returns is stronger when the announcements are negative but, interestingly, the returns of Bitcoin, unlike those of other assets, are more volatile after positive announcements.