Hierarchies in volatility transmission: A cross- sectional investigation of cryptocurrency, stocks and commodity markets.

Introduction: Volatility spillovers between different markets have become a crucial area of study, particularly due to their implications for investment strategies and economic predictions.
Aim: This study aims to investigate the transmission of volatility across cryptocurrency, stock, and commodity markets, aiming to understand their interrelationships and the hierarchical nature of these transmissions.
Method: The research uses VAR and SVAR models to investigate how the volatile cryptocurrency (Bitcoin) market, stock market (S&P 500), and commodity market (Bloomberg Index) transmitted to others employing data from January 1, 2019, to April 30, 2025.
Findings: The findings incorporate minor short-term spillover and top-down structure where the Bitcoin initiated volatility, commodities hedging equity volatility, and VIX volatility. A hierarchical volatility structure is found to exist and can be described by using Bitcoin as a leader of the structure, commodities as equity hedgers, and VIX as a volatility driver, all of which fit the diversification side of the modern portfolio theory.
Conclusion: The study recognizes the asymmetric nature of market response, highlighting how different assets may behave under different economic conditions.
Originality and value: The paper provides new empirical evidence on transmission mechanisms of volatility between cryptocurrency, equity, and commodity markets in both the VAR and SVAR modeling frameworks.