The effect of Bitcoin price volatility on gold and stock markets: An analysis using lagged Bitcoin data

This study examines the spillover effects of global Bitcoin (BTC), price volatility on Vietnamese stock and gold markets using daily data from 2018 to 2025 (Akpan, 2024; Umoru et al., 2025). Building on a baseline framework of ordinary least squares (OLS), fixed-effects, and instrumental variable regressions with lagged Bitcoin returns, we analyze how global Bitcoin price movements co-move with the Ho Chi Minh Stock Exchange index (VNINDEX), Hanoi Stock Exchange (HNX), and VND-denominated gold returns after controlling for USD/VND exchange rate, United States (US) 10-year treasury yields, volatility index (VIX), and turnover volatility. To capture event-driven dynamics, we further incorporate dummy variables and interaction terms around major crypto-specific events (such as regulatory announcements and large market corrections), allowing us to test whether spillovers intensify during stress periods (Umoru et al., 2025). The results indicated that although preliminary estimates suggest positive comovements, these effects weaken after robustness checks, and no significant or stable spillover from Bitcoin to Vietnamese stock or gold markets is detected. These findings challenge the view of gold as a safe haven in the Vietnamese context and point to limited diversification benefits when combining Bitcoin, stocks, and gold in domestic portfolios. Overall, the study contributes to the emerging literature on cryptocurrency spillovers in frontier markets and provides actionable insights for investors and regulators concerned with systemic risk and portfolio risk management (Chutipat et al., 2023).