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.
Keywords: Cryptocurrencies; Macroeconomic News; Return Volatility; Sentiment.