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<p>In recent years, digital assets have increasingly influenced financial markets, attracting the attention of both investors and policymakers. Among them, Bitcoin has become a focal point in examining the volatility dynamics of U.S. stock markets, providing insights into the interplay between traditional and digital assets. This study employs the Diagonal BEKK-GARCH model to examine time-varying volatility co-movements between Bitcoin and major U.S. stock indices, including the Dow Jones, Nasdaq, S&amp;P 500, and Russell 2000. The findings indicate that volatility dynamics are primarily driven by own-market persistence, while cross-market volatility is associated with U.S. equity indices and Bitcoin. Rather than emphasizing causal direction, the results highlight the presence of persistent and interconnected volatility co-movements across traditional and digital asset markets. By analyzing these interactions, the study provides implications for portfolio diversification and offers insights into the role of digital assets within the broader context of financial stability.</p>

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Bitcoin, U.S. stock markets, and volatility: the interaction of digital assets with traditional markets

  • 期刊论文

  • 发表日期：

    2026年3月2日

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  • Kudbeddin Şeker,
  • Ethem Kiliç

摘要

In recent years, digital assets have increasingly influenced financial markets, attracting the attention of both investors and policymakers. Among them, Bitcoin has become a focal point in examining the volatility dynamics of U.S. stock markets, providing insights into the interplay between traditional and digital assets. This study employs the Diagonal BEKK-GARCH model to examine time-varying volatility co-movements between Bitcoin and major U.S. stock indices, including the Dow Jones, Nasdaq, S&P 500, and Russell 2000. The findings indicate that volatility dynamics are primarily driven by own-market persistence, while cross-market volatility is associated with U.S. equity indices and Bitcoin. Rather than emphasizing causal direction, the results highlight the presence of persistent and interconnected volatility co-movements across traditional and digital asset markets. By analyzing these interactions, the study provides implications for portfolio diversification and offers insights into the role of digital assets within the broader context of financial stability.