Financial Markets Effect on Cryptocurrency Volatility: Pre- and Post-Future Exchanges Collapse Period in USA and Japan

Faizah Alsulami () and Ali Raza ()
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Faizah Alsulami: Department of Accounting, Faculty of Business Administration, University of Tabuk, P.O. Box 741, Tabuk 71491, Saudi Arabia
Ali Raza: Department of Banking and Finance, Near East University, North Cyprus, Lefkoşa 99138, Mersin 10, Türkiye

IJFS, 2025, vol. 13, issue 1, 1-19

Abstract: This study is the first to scientifically investigate stock indices and currency exchanges that affect crypto price volatility pre and post the FTX (Future Exchanges) collapse event. Weekly series from 1 January 2020 to 31 December 2024 were utilized for the analysis. The ARDL model suggests positive symmetric short- and long-term effects of USA stock indices on Bitcoin and Ethereum prices ( p < 0.10), while Japanese stock indices and currency exchanges have negative symmetric short- and long-term effects on Bitcoin and Ethereum price volatility ( p < 0.10). The global index MSCI has no symmetric effect. The asymmetric approach NARDL suggests positive and negative asymmetric short- and long-term effects of USA and Japanese stock indices and currency exchanges on Bitcoin and Ethereum price volatility ( p < 0.05). This research helps exchange brokers and crypto traders diversify their holdings, reduce stock index and currency exchange risk, and accurately predict Bitcoin and Ethereum price variations.

Keywords: currency exchanges; crypto prices; stock indices; ARDL; NARDL (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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