... Dickey–Fuller ( BSADF ) procedure. To model dynamic spillovers between returns and sentiment, a vector autoregression ( VAR ) is estimated incorporating equity-market volatility ( VIX ), the crypto Fear and Greed Index and NFT/market sentiment indicators. Findings Findings reveal various speculative...

..., with the focus on spillovers between the variables. Design/methodology/approach Monthly data on the index Sentix, exchange rates EUR–USD, EUR–CHF and EUR–JPY are analyzed from February 2003 to December 2019. The applied methodology consists of vector autoregression models (VAR) with Diebold and Yilmaz (2009...