Abstract
This paper examines the relationship between news coverage and Bitcoin returns. Previous studies have provided evidence to suggest that macroeconomic news affects stock returns, commodities and interest rates. We extend the approach developed by Birz and Lott [2011] to examine the hypothesis that Bitcoin returns are similarly affected by macroeconomic news announcements. We construct a sentiment index based on news stories that follow the announcements of four macroeconomic indicators: GDP, unemployment, 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. News relating to unemployment and durable goods announcements are found to be significantly linked to Bitcoin returns.
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