In recent years, cryptocurrencies have gained significant popularity and importance. This study examines their relationship with established financial assets. We've constructed a cryptocurrency index and assessed its correlation with various financial asset classes such as equities, currencies, commodities, and interest rates. We aim to determine whether cryptocurrencies are leading or trailing in relation to these other asset classes. We've employed both static and time-varying VAR coefficients to disentangle the relationship between cryptocurrency returns, volatility, trading volume, and other assets. Our primary findings indicate that cryptocurrency trading volume is inversely related to volatility shocks in other markets, with its response varying over time.
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