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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Faizah Alsulami & Ali Raza, 2025. "Financial Markets Effect on Cryptocurrency Volatility: Pre- and Post-Future Exchanges Collapse Period in USA and Japan," IJFS, MDPI, vol. 13(1), pages 1-19, February.
    • Handle: RePEc:gam:jijfss:v:13:y:2025:i:1:p:24-:d:1588721
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