EcoFin Research Papers

This paper examines whether investor sentiment originating in cryptocurrency markets spills over into equity markets with overlapping investor bases. Using daily data for major cryptocurrencies and technology sector stock indices across the United States, Europe, and Asia from 2017 to 2024, we construct a crypto-specific sentiment index based on search behavior and social media tone. Spillover effects are analyzed using vector autoregression models and industry-level panel regressions that control for market-wide sentiment and macro-financial conditions. The results indicate that positive and negative sentiment shocks in crypto markets significantly affect subsequent returns and volatility of technology stocks, but not defensive or value-oriented sectors. The spillovers are asymmetric and stronger during high-volatility periods, suggesting that sentiment transmission operates through shared speculative investor demand rather than information fundamentals. These findings highlight cryptocurrencies as an independent source of behavioral shocks with measurable effects on equity pricing.

Cryptocurrency sentiment, spillovers, technology stocks, investor behavior, cross-market dynamics

G12, G14, G15

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