Cryptocurrency volatility and Egyptian stock market indexes: A note

Tarek Eldomiaty (1) Nada Khaled (2)
(1) The American University in Cairo, Egypt
(2) British University in Egypt, Egypt


This paper examines the effect of the riskiness of the top four cryptocurrencies on the riskiness of stock market indexes in Egypt, being recognized as a developing country. The analysis uses daily data on cryptocurrencies and the three stock market indexes covering January 2020 to January 2023. The risk is measured using the holding period Value at Risk (VaR). The GMM results show that (a) cryptocurrency volatility is negatively associated with the volatility of stock market indexes. That is, the higher the investors’ interest in trading cryptocurrencies, the lower the volatility of stock market indexes as investors trade stocks less frequently, (b) cryptocurrencies can provide hedge and diversification benefits, and (c) the relationship between volatilities of cryptocurrencies and stock market indexes varies across indexes, therefore, contingent.

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Tarek Eldomiaty (Primary Contact)
Nada Khaled
Author Biographies

Tarek Eldomiaty, The American University in Cairo

Tarek Eldomiaty, The American University in Cairo, AUC Avenue, P.O. Box 74 New Cairo 11835, Egypt; email:

Nada Khaled, British University in Egypt

Nada Khaled, British University in Egypt, Egypt;

Eldomiaty, T., & Khaled, N. (2024). Cryptocurrency volatility and Egyptian stock market indexes: A note. Modern Finance, 2(1), 121–130.

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