Replication Dataset for "Investor Attention and the Conditional Relationship between Equity-Market Movements and Cryptocurrency Returns: Evidence from Bitcoin and Ethereum"

This dataset contains the daily financial-market observations and constructed variables used in the empirical analysis of the study "Investor Attention and the Conditional Relationship between Equity-Market Movements and Cryptocurrency Returns: Evidence from Bitcoin and Ethereum." The dataset covers Bitcoin, Ethereum, the S&P 500, investor attention, and broader macro-financial control variables over the period January 2015 to December 2024. It includes the variables used to construct cryptocurrency returns, negative S&P 500 returns, standardized investor attention, interaction terms, and the control variables used in the baseline and robustness specifications. The dataset is provided to support replication and transparency of the empirical results reported in the manuscript. Underlying data originating from third-party providers remain subject to the terms and conditions of their respective providers.