Year of

Sr. No Author Name Topic of Article Journal name

publication

A Comparison of Cryptocurrency Volatility— Financial

1 Alessio Brini & Jimm Benchmarking New and Mature Asset Classes 2024 Innovation

Investigating the Relationship Between Decisions in

Volatilities of Cryptocurrencies and Other Economics and
2 Achraf Ghorbel & AhFinancial Assets 2021 Finance

Return and Volatility Spillover Between Cogent

Cryptocurrencies, Oil Price, and Stock Market in Economics &
3 Hanan Haider Ali, S GCC Countries 2025 Finance

A Comparative Analysis on Probability of Journal of Risk

Volatility Clusters on Cryptocurrencies and and Financial
4 Usha Rekha ChinthapFOREX Currencies 2021 Management

Natural and
Applied
Volatility Spillover Effect Between Sciences
Cryptocurrency and Stock Market Using International
5 Iqra Hussain, NazakatMGARCH BEKK Model 2024 Journal (NASIJ)

Al Qalam: Jurnal
Ilmiah
Risk and Return Model of Digital Cryptocurrency Keagamaan dan
6 Rico Nur Ilham, IsfentAsset Investment in Indonesia 2022 Kemasyarakatan

Comparison of the Asymmetric Relationship

Between Bitcoin and Gold, Crude Oil, and the Journal of Risk
U.S. Dollar Before and After the COVID-19 and Financial
7 Yadong Liu, Nathee Outbreak 2023 Management

The Impact of the Cryptocurrency Market on Journal of Risk

Islamic vs. Conventional Stock Returns: Evidence and Financial
8 Naji Mansour Nomran,
from Gulf Cooperation Council Countries 2024 Management
 Market Volatility in Cryptocurrencies: A Multidisciplinar
Comparative Study Using GARCH and TGARCH y Science
9 Vidya Bai G., Daniel Models 2025 Journal

International
Journal of
Volatility Spillovers and Correlation Between Economics and
10 Nidhi Malhotra & S Cryptocurrencies and Asian Equity Market 2019 Financial Issues

Bitcoin and Stock Markets: Are They Preprint on

Connected? Evidence from ASEAN Emerging Research
11 Abdollah Ah Mand &Economies 2020 Square

Journal of Asian
Finance,
Portfolio Diversification Benefits of Economics and
12 Bakri Abdul Karim, Cryptocurrencies and ASEAN-5 Stock Markets 2021 Business
 cryptocurrency volatility
using high-frequency
data.
Absence of
Lack of studies on
comprehensive cross-
Moderating volatility
sectional spillovers
comparison
Ind variable Dep variable Research
between gap
cryptocurrency
Variable
cryptocurrencies
and equity markets. and
financial assets.
Prior studies focused on
Market volatility drivers Limited
pre-2020research
data, on the
(daily leverage, signed Future cryptocurrency impact of therecent
overlooking launch of
volatility, and jumps) N/A volatility Prior
Bitcoin
market studies
[Link]
developments.
mainly
The need onforvolatility
a deeper
Volatility of Volatility spillover and spillovers
understanding of oil
between
cryptocurrencies, stock dynamic conditional prices and stock markets
cryptocurrencies as
indices (S&P500, correlation between in
hedgingcountries.
GCC or safe-haven
Nasdaq, and VIX), oil, cryptocurrencies and Limited research
assets during onlike
crises
and gold N/A financial assets cryptocurrency
COVID-19.
interlinkages with oil
prices and stock markets
in this region.
Return and volatility Lack of studies
Limited research onon
Cryptocurrencies, Oil spillovers between asymmetric
volatility effects in
clustering of
Prices, and Stock Market cryptocurrencies, oil prices, news shocks in GCC
cryptocurrency markets.
Indices N/A and stock market indices financial markets.
Lack
Limitedof comparative
research on the
studies
volatilitybetween
interactions
cryptocurrencies
between and
FOREX currencies.
cryptocurrencies and
traditional stock
Volatility clustering in Need
markets forinalternative
Pakistan.
Cryptocurrencies and cryptocurrencies and FOREX predictive models (e.g.,
FOREX currency returns N/A markets ANN
Lack of
Limitedand EGARCH).
studies
research applying
on risk
the MGARCH
and return modelsBEKK for
model in this context.
cryptocurrency
investment in Indonesia.
Need for understanding
Volatility spillover to the Limited
the risk
Lack studies
and
of policy on
return
Major cryptocurrencies Pakistan Stock Exchange asymmetric co-
dynamics in emerging
frameworks addressing
(Bitcoin, Ethereum) N/A (PSX) integration
markets. and risk
cryptocurrency causality
between
management Bitcoin and
in the
global
country. financial assets.
Lack
Lack ofof empirical
comparative studies
Insufficient
comparing studies on
Cryptocurrency Beta, analysis
how on how
macroeconomic the
cryptocurrency
COVID-19 impacts
pandemic
Currency Exchange Rate, Velocity of factors
on influence
Islamic vs.
Inflation Rate Cryptocurrency Cryptocurrency Return altered Bitcoin'sreturns.
cryptocurrency
conventional
relationship with stock gold,
markets.
crude oil, and the U.S.
dollar.
No focus on how
cryptocurrency
Insufficient exploration
Prices of Gold, Crude Oil, COVID-19 outbreak influences
of nonlinear varied
dynamics in
and the U.S. Dollar Index (as a temporal between pre- and post-
Bitcoin’s interactions
(USDX) moderator) Bitcoin price movements 2017 cryptoassets.
with other crash
periods in GCC
countries.

The 2017–2018 Limited understanding

cryptocurrency of how Shari'ah-
crash (as a Islamic and conventional compliant markets react
temporal stock returns in GCC to cryptocurrency
Cryptocurrency returns moderator) countries market changes.
 GARCH and TGARCH
models.

Lack of studies
Limited researchfocusing
on
on asymmetric
volatility volatility
spillovers
patterns in
between
[Link]
cryptocurrencies
Asian
Limitedequity markets.
studies
Insufficient
exploring exploration
the
of the impact
Previous of focus
studies
relationship between
Bitcoin and Ethereum Cryptocurrency market negative
mainly
Bitcoin onshocks
and on
Bitcoin,
ASEAN
price returns N/A volatility crypto market
neglecting
emerging other
equityvolatility.
cryptocurrencies.
markets.
evidence analysis
Lack of in-depth on
time-varying
on short-run and long-
Limited research
correlations and on the
run volatility
integration and
and co-
dynamic
Prices of Bitcoin, DASH, Volatility and correlations in movement
leverage effects
using
Litecoin, and Monero N/A five Asian equity markets linkages
betweenbetween
these markets.
advanced econometric
cryptocurrencies and
models.
ASEAN-5 stock markets.
Sparse
Lack of research
studies onapplying
the
wavelet analysis and M-
diversification benefits
GARCH models to assess
of cryptocurrencies from
dynamic
an ASEAN-5 correlations
investor
Bitcoin returns N/A ASEAN stock market indices and volatility spillovers.
perspective.

Sparse evidence on the

Cryptocurrencies ASEAN-5 stock market co-movements and
(Bitcoin, Ethereum, returns (Malaysia, causality between
Ripple, Litecoin, Stellar, Indonesia, Singapore, cryptocurrencies and
Dash) N/A Thailand, Philippines) emerging stock markets.
 Helps investors To analyze
understand cryptocurrency
cryptocurrency
volatility dynamics volatility at high
volatility
for risk for better frequency and
Limited to high-frequency data from risk management.
management. compare it with
2020–2022. Social equities.
Limitations Provides
Highlights insights ToPurposeexamineof thestudy Sample size
Implications
Excludes stablecoins from the analysis. into whether
differences volatility
To examine spillover
the
cryptocurrencies
between between
impact of market
Study
Resultsperiod
mightisnot
limited to 2016–2020.
generalize to different can serve asasset
traditional cryptocurrencies
volatility drivers on and 87 cryptocurrencies
market conditions beyond the study Provides
hedges orinsights
classes and safe- financial assets.
future cryptocurrency and 42 NASDAQ
Focuses
period. only on five cryptocurrencies, for investors
haven assets.
cryptocurrencies. volatility. 3
5 Cryptocurrencies:
cryptocurrencies
technology stocks
which may not fully represent the entire regarding portfolio To analyze the Bitcoin,
(Bitcoin,Ethereum,
Dash,
crypto market. diversification.
Supports To examine
dynamic return
conditional Bitcoin CashMonero,
Ethereum,
policymakers in and volatility
correlation between and Ripple) and 4
The findings may not be applicable to Helps policymakers spillovers
assessing between
these markets, 4 GCC Stock
financial Market
assets
other financial crises or different market assess
Provides insights
cryptocurrency cryptocurrencies,
especially during the oil Indices: Bahrain
(S&P500, Nasdaq, All
Study focuses on only selected GCC
conditions. cryptocurrency
for investors
market [Link] prices, and stock
COVID-19 crisis. Share Index
VIX, and oil). (BAX),
countries. regulations
volatility riskininGCC markets in GCC Muscat Securities
countries.
different asset countries. Exchange (MSX 30),
Does not include other asset classes like classes. Tadawul All Share
commodities. Highlights the To analyze the Index (TASI), QE
impactfinancial
Helps of news asymmetric effects of General
4 Index (QE)
Cryptocurrencies:
Limited to daily trading prices from shocks on market
institutions in risk news shocks on Bitcoin, Ripple,
January 2018 to February 2024. Helps investors
volatility. financial markets. Crude Oil Prices
management
understand and To compare volatility Ethereum, and
Study covers data from August 2017 to asset allocation.
cryptocurrency- clustering in Tether
August 2020. stock market cryptocurrencies and
Assists
linkages. FOREX currencies. 7 FOREX Currencies:
Focuses on only four cryptocurrencies policymakers
Helps policymakersin Euro, Australian
and seven FOREX currencies. understanding
Assists
develop the To analyze predictive Dollar, Mexican
volatility dynamics
policymakers in
cryptocurrency accuracy
To analyze using hybrid
volatility Peso, British Pound,
Uses simulated models, which may not of emerging
assessingand
taxation digital models like EGARCH
financial spillovers between Brazilian Real, Saudi
capture real-time
Limited to market
data from dynamics.
January 1, 2019, to assets.
stability risks from and
regulation ANN.
cryptocurrencies and Riyal, Japanese Yen
April 5, 2024. digital assets.
strategies. the Pakistan Stock
Helps investors Exchange (PSX).
Excludes other financial assets like and financial
Provides insights To formulate a risk
investors 7 cryptocurrencies
commodities or bonds. institutions
for risk
with better management
a structured To assess howmodel digital (XRP, USDT, TRX,
understand
management
risk assessment and forasset volatility
cryptocurrency DOGE, Bitcoin,
Findings
Study may covers
period not be only
generalizable
March 2021 to Bitcoin’s
model forevolving investments
diversification influences traditional
in Binance Coin) and
Provides
dynamicsinsights
with
beyond Pakistan’s
December 2021. financial market. strategies.
cryptocurrency
into how financial markets.
Indonesia. PSX (KSE-100 index)
global assets
investments. To examine
cryptocurrencies
during crises. asymmetric co-impact
Focuses on only five major impact both To analyze the
cryptocurrencies traded in Indonesia. Supports integration and
financial of risk factors such as
Islamic
Assists and in causality between
institutions
conventional exchange rates, 5 cryptocurrencies
Does not account for global regulatory policymakers
managing in
digital Bitcoin and
inflation, andglobal
beta on (Bitcoin, Ethereum,
Focuses markets, informing
changes only on Bitcoin,
impacting gold, crude oil,
cryptocurrency assessing
asset the
volatility
policymakers.
financial assets
cryptocurrency (gold, Ripple, Bitcoin Cash,
and the U.S.
investments. dollar. systemic
risks. risks of crude oil,
returns. and USD) Litecoin)
cryptocurrencies. before and after the
Static asymmetric co-integration and Assists investors in COVID-19 pandemic.
causality tests used, which may not understanding
Offers insights intorisk
capture dynamic relationships. profiles of Shari'ah-
asset allocation To analyze how the Weekly data from
compliant versus To
strategies during empirically
pandemic affected January 2015 to
Potential bias due to reliance on Engle– conventional
periods of examine the impact
the long-term and June 2023 on
Excludes data beyond 2019
Granger co-integration to avoid
method over the equities
economic amid of cryptocurrency
causal relationships Bitcoin, gold, crude
confounding effects of COVID-19 and
Johansen approach. crypto market
turbulence. returns on Islamic
among these vs.
assets. Top 10 USDX
oil, and
geopolitical events like the Ukraine war. fluctuations. conventional stock cryptocurrencies
markets in GCC
Saudi Arabia was excluded due to data Contributes to countries. Islamic and
unavailability. discussions around conventional stock
integrating To assess how the indices from five
Low R-squared values in the models cryptocurrencies 2017–2018 crypto GCC countries
suggest the need for further explanatory into Islamic crash altered these (excluding Saudi
variables. finance. relationships. Arabia)
 Assists
diversification compare the volatility
Study period is limited to 2017–2021, policymakers
strategies in
between of Bitcoin and
potentially missing more recent market understanding
cryptocurrencies Ethereum using
dynamics. volatility
and Asiandynamics
equities. GARCH and TGARCH
for betterinsights
Provides market models.
Focuses solely on Bitcoin and Ethereum, regulation.
Assists
for investors on
excluding other major cryptocurrencies. policymakers
the co-movement in To identify the
Helps traders
understanding
and volatility presence of leverage
The GARCH and TGARCH models may predict market
volatility
between Bitcoin effects
To and volatility
analyze Daily
5 closing
Asian stockprices
oversimplify volatility dynamics by Provides
movements insights
transmission based spillovers
asymmetries andin the of Bitcoin
indices: and
S&PBSE500
and
for ASEAN
investors equity
assuming
Study specific
covers only conditional variance
November 2014 to between
markets. newon
on asymmetric volatility correlations
and dynamic of these Ethereum
(India), PSEfrom 2017
structures. 2018.
December portfolio
volatility patterns. between
traditional cryptocurrencies. to 2021
(Philippines), SGX
diversification
markets. cryptocurrencies and (Singapore), HNX
Helps policymakers
strategies involving Asian equity markets.
Focused on five Asian stock indices and understand the To analyze the short- (Vietnam), BUR
four cryptocurrencies, potentially limiting cryptocurrencies
Helps in designing (Malaysia)
potential
and ASEAN risks of run and long-run
generalizability. better hedging
integrating To investigate the
relationships
equities.
strategies based on presence of leverage 4 Cryptocurrencies:
Study period limited to July 2010 – April cryptocurrencies between Bitcoin and
Does not include the effects of
2019. dynamic
into traditional effectsASEAN
major in thesestock Bitcoin, DASH,
macroeconomic or geopolitical events. Assists fund
correlations. Litecoin,
markets.
managers and markets. Daily dataMonero
from July
Focused only on five ASEAN stock policymakers in To investigate the 2010 to April 2019
markets, excluding China due to Assists portfolio
understanding To assess volatility
integration and for Bitcoin and five
regulatory restrictions. managers in spillovers
market integration dynamic linkages and ASEAN stock indices
identifying
and potential dynamic
between correlations (Japan, Korea,
6 Cryptocurrencies:
Possible model
Study period biasestodue
limited to reliance
August 2015 –on diversification
hedging using advanced and
cryptocurrencies Singapore,
Bitcoin, Ethereum,
specific econometric
October 2019. techniques (VECM, strategies using
opportunities. econometric
ASEAN-5 stock Philippines, and
Ripple, Litecoin,
M-GARCH, and Wavelet analysis). cryptocurrencies. techniques.
markets. Hong Kong)
Stellar, Dash
Focused only on six cryptocurrencies and Helps investors
five ASEAN stock markets. identify short-term To assess the 5 ASEAN Stock
diversification portfolio Markets: Malaysia,
Uses only cointegration and Granger benefits despite diversification Indonesia,
causality tests, potentially missing long-term benefits in both the Singapore, Thailand,
nonlinear dynamics. integration. short- and long-run. Philippines
 Autoregressive stock
financialmarkets.
cryptocurrencyassets.
(HAR) models volatility.
No return
During the
spillover
Panel regression COVID-19
Cryptocurrencywas
Cryptocurrencies crisis,
with Weighted found
exhibit among
correlationshigher
investors tend to
Least Squares these
volatility
between asset
react differently
classes.
Reference
Population Statistical
(WLS) model Findings
clustering
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an
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Autoregressive
Multivariate asymmetric
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Conditional Cryptocurrency
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Generalized Exchange
returns Rate
Heteroskedasticity)
Autoregressive have
exists.
Negative significant
negatively news in
affects
negatively
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Conditional cryptocurrency
impacted both
ANN (Artificial
Heteroskedasticity persistence,
Before
markets
returns. COVID-
affectsbut
Cryptocurrency and Neural Network) Islamic
FOREX and
currencies
19, Bitcoin’s
(MGARCH) BEKK the PSX more
conventional
FOREX currency with
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Dynamic
causality
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Volatility
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only for
Unit Root Test cryptocurrencies
Bitcoin and
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Korea’s
and market
ASEAN-5
(ADF) Ethereum
over
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with is
EGARCH model for stock
more markets,
sensitive
suggesting thatto
Bitcoin.
indicating
ARCH Effect
leverage Test
effects bad news, limited
cryptocurrencies
long-term
indicating
can act as a
Volatility
diversification.
Model selection
Diagonal BEKK higher riskwere
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