Do Social Media Sentiments Drive Cryptocurrency Intraday Price Volatility? Evidence from Dynamic Return and Volatility Connectedness

In this paper, we estimate an asymmetric frequency TVP-VAR frequency connectedness model and further employ aggregated connectedness measures in order to identify whether cryptocurrencies drive investor sentiment. We find pronounced and time-varying interconnectedness within the cryptocurrency market.In addition, we find evidence that negative short-term interconnectedness dominated positive short-term interconnectedness until mid-2020 before this effect was reversed, enduring until the end of the sample period. While Ripple and Bitcoin are the main net transmitters of shocks, Stellar, Ethereum and Monera are net receivers. Overall, the evidence further suggests that market sentiment is mainly driven by cryptocurrency volatility