This paper examines the dynamic spillovers between the VIX stock sentiment index, the Cryptocurrency Fear & Greed Index, and the returns of leading high-tech firms from 2018 through 2024. We quantify the direction and magnitude of spillovers between these variables by applying the Quantile Vector Autoregression (Q-VAR) model across lower, middle, and upper quantiles. Results indicate a stronger connection between technology firms and the VIX, with tech stocks being more influenced by cryptocurrency fear during the COVID-19 pandemic. These findings highlight the growing influence of technology firms upon financial markets, particularly during periods of heightened uncertainty in traditional markets and increased volatility in digital assets, reflecting their continually growing role in the evolving digital financial landscape. • Examines the influence of cryptocurrency fear on major tech firms from 2018 to 2024. • Applies Quantile-VAR model to analyse sentiment-driven volatility spillovers. • Highlights stronger spillovers from traditional stock fear than cryptocurrency fear. • Reveals tech stocks’ resilience during periods of high market and crypto volatility. • Identifies technology firms as key intermediaries in evolving digital financial markets.
Kyriazis et al. (Sun,) studied this question.