Crypto and equity markets are more connected than traditional models suggest.

Crypto and equity markets are more connected than traditional models suggest. New research identifies the Attention factor—a measure of speculative investor sentiment—as a critical transmission channel linking Bitcoin, options trading, and retail-driven equities. This hidden risk persists even after controlling for macro factors, particularly affecting stocks with high retail participation like Robinhood and Coinbase. Trading concentration data shows retail order flows amplify cross-asset correlations during speculation spikes. Institutional benchmarks like the Nasdaq-100 show minimal exposure, while thematic growth funds and small-cap indices face amplified sensitivity. Portfolio managers should integrate Attention factor loadings into risk models to quantify this unintended concentration risk and adjust allocations accordingly.