Dataset for: Investor Sentiment and Future Cryptocurrency Market Stress: Evidence from Bitcoin and Ethereum

This repository contains the research dataset supporting the manuscript entitled "Investor Sentiment and Future Cryptocurrency Market Stress: Evidence from Bitcoin and Ethereum." The study examines whether market-level investor sentiment provides incremental information about subsequent stress in the Bitcoin–Ethereum market core after controlling for current market conditions and principal market-derived variables. The repository includes the final analytical dataset, variable dictionary, source register, construction parameters, data-quality checks and supporting documentation used in the empirical analysis. The Cryptocurrency Systemic Stress Index (CSSI) is constructed from four observable dimensions of market stress: realised volatility, downside volatility, drawdown severity and cross-asset correlation. The empirical analyses include multi-horizon regressions, robustness tests, alternative index constructions and expanding-window forecast evaluation. The dataset was compiled from publicly available historical cryptocurrency price series and the Crypto Fear and Greed Index. It is intended to support the transparency, reproducibility and verification of the empirical findings reported in the associated manuscript.