In examining the spillover dynamics, we observe that volatility spillovers tend to be lower compared to returns spillovers in both time samples, which aligns with findings observed across different categories of assets. Additionally, the spillover indices in the shorter sample are relatively larger, primarily due to the inclusion of a broader range of crypto assets. Furthermore, we note a high level of comovement between both returns and volatility spillovers, as well as between the two time samples. At the start of our sample, in August 2015, the devaluation of the Chinese yuan and the subsequent stock market sell-off in China led to a decline in financial markets around the world (the Flash Crash of August 24). In this period, a parallel decline in the price of Bitcoin and other cryptos occurred. As a result, the spillover indices for both volatility and returns experience a sharp rise, as indicated by event 1 in 3.

In June 2016 (event 2), the Brexit vote in the United Kingdom triggered a decline in the pound and a sell-off in financial markets, impacting both traditional assets and crypto 27 assets like Bitcoin. Investors sought refuge in safe-haven assets such as U.S. Treasury bonds. However, this increase in spillovers was short-lived. A stock market rally occurred in the first half of 2017, accompanied by a corresponding rally in the prices of crypto assets. During late 2017 and early 2018this period, both financial markets and crypto assets experienced a surge in prices, driven by bullish investor sentiment and a surge in popularity for crypto assets. The spillover index displayed a downward trend during this period, declining to some of the lowest levels in our sample.

However, these favorable trends were sharply reversed towards the end of 2017 and beginning of 2018. The price of Bitcoin reached its peak on December 17, 2017, only to experience a significant 45% decline on December 22 of the same year. Similarly, while the stock market was reaching record highs in January 2018, on February 5, the Dow Jones Industrial Average dropped by 1,175 points, its biggest single-day point decline in history. The stock market crash of Feb 5, 2018 (event 3) had a significant impact on connectedness. Subsequently, all the connectedness indices for returns and volatilities remained at persistently elevated levels.

The most significant increase in connectedness within our sample occurred in March 2020, with all the connectedness indices jumping by approximately 20 percent. This notable spike coincided with the onset of the COVID-19 pandemic, which triggered a widespread market sell-off across both traditional financial markets and crypto assets. During this period, investors sought refuge in safe-haven assets like U.S. Treasury bonds. However, by the end of the summer, spillover indices decline sharply, with news of the approval of a coronavirus treatment and expectations of vaccines lifting investors sentiment. On August 25, 2020 US stock markets reached all time highs, surpassing their pre-pandemic peaks (event 5). The positive sentiment fueled a surge in risk-taking across financial markets, leading to a rally in both stock markets and crypto assets, which continued until the spring of 2021. Throughout this period, the spillover indices displayed a downward trajectory.