Dynamic Return Connectedness Among Crypto-Mining Technology Firms and Major Cryptocurrencies: The Role of Sentiment Indices

Elie Bouri (), Oguzhan Cepni (), Rangan Gupta, Sibanjan Mishra () and Enes Olgun ()
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Elie Bouri: School of Business, Lebanese American University, Lebanon; Korea University Business School, Seoul, Korea
Oguzhan Cepni: Copenhagen Business School, Department of Economics, Porcelaenshaven 16A, Frederiksberg DK-2000, Denmark; Ostim Technical University, Ankara, Turkiye
Sibanjan Mishra: TAPMI Management Institute, Manipal Academy of Higher Education, Manipal, Karnataka, India
Enes Olgun: Central Bank of the Republic of Turkiye, Ankara, Turkiye

No 202533, Working Papers from University of Pretoria, Department of Economics

Abstract: This study examines the dynamic return connectedness between leading crypto-mining firms and major cryptocurrencies, emphasizing the influence of investor sentiment across time and frequency domains. Using a time-varying parameter VAR model and quantile regression, we find strong, evolving interconnectedness, with cryptocurrencies, especially Bitcoin and Ethereum, acting as dominant transmitters of return shocks, while mining firms such as Hive Technologies, Marathon Digital, and Riot Platforms primarily absorb these shocks. Notably, connectedness is more pronounced in the short term, and shifts in directional spillovers occur post-2020. Sentiment indices, particularly the Compass SESAMm Crypto Sentiment Index, play a significant role in modulating return spillovers, especially during bearish and neutral market phases. These findings provide actionable insights for investors, risk managers, and policymakers monitoring systemic risks in the rapidly evolving digital finance ecosystem.

Keywords: Crypto-mining firms; Cryptocurrencies; Return connectedness; Time-varying parameter VAR; Frequency domain analysis; Investor sentiment (search for similar items in EconPapers)
JEL-codes: C21 C22 C58 G11 G14 G15 G17 (search for similar items in EconPapers)
Pages: 1 pages
Date: 2025-09
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202533

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