---
title: Asymmetric Volatility in Crypto Currency and Stock Market
url: https://www.ml-quant.com/papers/repec/rfb-journl-v-16-y-2024-i-1-p-7-19/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:rfb:journl:v:16:y:2024:i:1:p:7-19
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Frfb.ase.ro%2Farticole%2FRFB_2024V1_art_1-2.pdf%3Bh%3Drepec%3Arfb%3Ajournl%3Av%3A16%3Ay%3A2024%3Ai%3A1%3Ap%3A7-19
featured: 2025-01-23
citations: unknown
topic: Crypto & DeFi
---


# Asymmetric Volatility in Crypto Currency and Stock Market

Research shows a cointegration between major cryptocurrencies and Indian stock market indices, with cryptocurrencies reacting to stock market shocks.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Frfb.ase.ro%2Farticole%2FRFB_2024V1_art_1-2.pdf%3Bh%3Drepec%3Arfb%3Ajournl%3Av%3A16%3Ay%3A2024%3Ai%3A1%3Ap%3A7-19
- Identifier: RePEc:rfb:journl:v:16:y:2024:i:1:p:7-19
- Released: 2024-11-14
- First featured: Quant Letter No. 83 (2025-01-23): https://www.ml-quant.com/issues/2025-01-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Crypto & DeFi

## Related

- [Banking 2.0: The Stablecoin Banking Revolution - How Digital Assets Are Reshaping Global Finance](https://www.ml-quant.com/papers/arxiv/2508.11395/): Stablecoins, combining cryptocurrency and traditional finance, are poised to transform the global financial system by addressing flaws in current fiat currencies and promoting a more globally connected financial system.
- [Crypto inverse-power options and fractional stochastic volatility](https://www.ml-quant.com/papers/arxiv/2403.16006/): A new model using fractional stochastic volatility helps manage cryptocurrency exchange rate risk, highlighting the need for price and volatility jumps in the crypto market.
- [Cointegrated Portfolios and Volatility modeling in the Cryptocurrency Market](https://www.ml-quant.com/papers/ssrn/4756389/): The study finds a correlation between cryptocurrency market volatility and trading spread, suggesting portfolios based on the Johansen procedure yield the highest returns.
- [Determinants of Cryptocurrency Returns](https://www.ml-quant.com/papers/ssrn/4930965/): The study reveals that cryptocurrency returns are significantly affected by fluctuations in advanced country currencies and oil prices, but not by emerging country currencies or global markets.
- [Transmissions Among Assets](https://www.ml-quant.com/papers/ssrn/4912927/): The study examines volatility and return spillovers in a network of variables, emphasizing the portfolio diversification benefits of commodities, fiat currencies, and crypto coins.
- [Cash vs. Crypto in DeFi](https://www.ml-quant.com/papers/ssrn/4478395/): The article discusses how cryptocurrencies can improve societal functions compared to traditional currencies and emphasizes the innovations needed to build confidence in decentralized finance.