We contribute to financial literature by identifying economic uncertainties salient to the price dynamics of cryptocurrencies. To measure this relationship, we examine the common stochastic trends between cryptocurrencies and major text-based uncertainty indices — categorical and broad —...

We report new evidence that the cryptocurrency market behaves as an independent asset class based on high-dimensional stochastic-volatility commonality tests against a basket of global investor sentiment proxies. Our approach’s novelty resides in employment of appropriate sources of risk and...