<p>The paper explores the linkage of Bitcoin and Ethereum, the two most popular cryptocurrencies, with the major financial markets. It employs Granger causality tests, the Diebold–Yilmaz (2012) spillover index, and orthogonalized impulse response functions to analyze the direction, intensity, and time variation of connectedness between cryptocurrency prices and returns, foreign exchange rates, and market volatility indices. The findings show that cryptocurrencies, while strongly interlinked with each other, have limited and low levels of spillover effects on the traditional financial markets. Cryptocurrencies are distinct and relatively autonomous asset classes. The price movements of these cryptocurrencies do not affect traditional financial markets and vice versa. This limited integration highlights their potential as diversification instruments for investors while indicating that they pose minimal systemic risk to established markets.</p>