Published 2025-09-29
Abstract
The rise of cryptocurrencies has introduced new dynamics into global financial markets. This paper examines the volatility spillover effects from the cryptocurrency market to key emerging stock markets in Asia, including those of India, South Korea, and Singapore. Utilizing a multivariate GARCH-BEKK model, the study analyzes daily returns data from 2018 to 2023 for Bitcoin, Ethereum, and the primary stock market indices of the selected countries. The results provide evidence of significant volatility spillovers from the cryptocurrency market to these Asian stock markets, indicating a growing interconnectedness. The spillover effects are found to be asymmetric, with negative shocks in the crypto market having a more substantial impact on stock market volatility than positive shocks. The study suggests that cryptocurrencies are no longer a niche asset class but have become a source of systematic risk for emerging economies. It recommends that regulators and investors in these markets develop a nuanced understanding of crypto-related risks and incorporate them into their portfolio management and financial stability frameworks.