Volatility Spillovers in the Economics of Cryptocurrencies and Financial Markets
https://doi.org/10.47703/2789-8253-2026-2-24-36
Abstract
With the increasing role of cryptocurrencies in the global financial system, the analysis of the mechanisms by which volatility transfers between digital and traditional assets is becoming particularly relevant.
The purpose of the study is to assess the degree, directions, and temporal variability of volatility spillovers between Bitcoin, leading cryptocurrencies, and traditional financial instruments.
Using daily data and both static and rolling-window estimates, the analysis assesses how shocks to volatility are transmitted between cryptocurrency and macro-financial markets. The results of the study showed that the Total Spillover Index (TSI) in the static model is 28.37 %, while in the dynamic model it reaches an average of 35.9 %, with peak values up to 45.25 % in 2022. It has been established that Bitcoin acts as a net transmitter of volatility: the average level of transmitted effects is 60.31 %, received effects are 50.59 %, and the net spillover is +9.72 %. Moreover, Bitcoin’s place in the network is state-dependent to some extent: while it acts as a net transmitter in the average, speculative episodes in alternative cryptocurrencies can cause Bitcoin to act as a receiver of volatility shocks. The results indicate a high degree of internal connectivity in the cryptocurrency market, with limited integration with the traditional financial system, and a pronounced temporary variability in the structure of volatility interactions. These findings have implications for portfolio diversification, risk management, and the ongoing integration of digital assets into the global financial system.
About the Authors
S. Celik
Izmir Katip Celebi University
Turkey
Turkey
Saban Celik, PhD, Associate Professor
Izmir
A. Duman
Izmir Katip Celebi University
Turkey
Turkey
Aslı Duman, PhD Student
Izmir
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Review
For citations:
Celik S., Duman A. Volatility Spillovers in the Economics of Cryptocurrencies and Financial Markets. Eurasian Journal of Economic and Business Studies. 2026;70(2):24-36. https://doi.org/10.47703/2789-8253-2026-2-24-36
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