This study analyzes the determinants of returns of the main cryptocurrencies, specifically Bitcoin (BTC) and Ether (ETH), over the period 2018–2024. The research focuses on identifying the influence of internal factors (network activity, transaction costs, and issuance), external factors (macroeconomic indicators and performance of traditional financial markets), and sentiment indicators (Google Trends index) on their financial behavior. To model volatility dynamics and capture asymmetric effects, an econometric approach based on EGARCH was applied, complemented with correlation tests and systemic crisis analysis. The results show that, in the case of Bitcoin, network activity, the S&P 500 index, and market sentiment are the most influential variables, while Ether’s performance is mainly driven by transaction fees, the number of blocks generated, and its dependence on Bitcoin’s price as the dominant crypto asset. The study concludes that both cryptocurrencies are undergoing a consolidation process as financial assets, with differentiated resilience in times of crisis. These findings provide valuable insights for investors, risk managers, and regulators regarding the role of cryptocurrencies within the global financial ecosystem.