Do investor sentiments drive cryptocurrency prices?

This paper studies the dynamic network connectedness between cryptocurrency returns and sentiments using the novel cryptocurrency-specific MarketPsych sentiment data for 13 cryptocurrencies with the highest market capitalization. The results indicate the dominance of cryptocurrencies with higher market capitalization and information transmission from cryptocurrency returns to sentiments. Our results also show that Bitcoin is losing its dominance to alt-coins in return spillovers while still dominant in sentiment spillovers. •We investigate the dynamic network connectedness between cryptocurrency returns and sentiments.•We find that information transmission is from cryptocurrency returns towards sentiments.•ETH, LTC, and XMR are the largest net transmitters of return spillovers, followed by BTC.•Our results also show that Bitcoin is losing its dominance to alt-coins in return spillovers while still dominant in sentiment spillovers.