Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States

Erdinc Akyildirim, Shaen Corbet, Ali Coskun and Metin Ercan

The North American Journal of Economics and Finance, 2025, vol. 76, issue C

Abstract: This study examines the dynamic interplay and volatility spillovers between cryptocurrency markets and major NASDAQ Blockchain Economy Index (NBEI) stocks during the COVID-19 pandemic. Utilising a time-varying parameter vector autoregressive (TVP-VAR) model, we capture the evolving relationships and identify key patterns of market connectedness. Results reveal a significant increase in market interconnectedness during the pandemic, with pronounced unidirectional volatility spillovers from cryptocurrencies to traditional stocks. Stocks related to digital payment systems predominantly mediate these spillovers, highlighting their central role in financial volatility transmission. This research sheds light on the integrated behaviour of digital and traditional financial assets and offers critical insights for investors and policymakers in enhancing portfolio diversification and strategic decision-making.

Keywords: Cryptocurrency; Blockchain; TVP-VAR; Volatility spillovers; Connectedness (search for similar items in EconPapers)
JEL-codes: C21 C22 G11 G14 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002699

DOI: 10.1016/j.najef.2024.102344

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