Zmienność cenowa i ryzyko regulacyjne wybranych kryptowalut jako wyzwanie dla rynków finansowych

Paweł Węgrzyn; Marcin Glicz; Agnieszka Butor-Keler

doi:10.26354/bb.2.2.99.2025

Published : 2025-08-29

Vol. 99 No. 2 (2025)

Price volatility and regulatory risk of selected cryptocurrencies as a challenge for financial markets

Paweł Węgrzyn

https://orcid.org/0000-0001-8963-2765

Marcin Glicz

https://orcid.org/0000-0003-4128-0267

Agnieszka Butor-Keler

https://orcid.org/0000-0002-2761-3144

DOI: https://doi.org/10.26354/bb.2.2.99.2025

Abstract

The paper aims to investigate the impact of price volatility and regulatory assessment of cryptocurrencies on risk to financial markets, based on bitcoin (BTC) and ether (ETH) examples. The research hypothesis is that cryptocurrencies, due to their high volatility, pose a risk to financial markets. An empirical analysis was conducted using GARCH(1,1) econometric models to examine the conditional volatility of cryptocurrency prices and their comparison with traditional financial assets, such as the EUR/USD, USD/PLN currency pairs and the S&P500 and WIG20 stock market indices. The results confirm that BTC and ETH exhibit significantly higher price volatility than traditional financial instruments. Furthermore, the values of the Value at Risk (VaR) measure for the analysed cryptocurrencies are significantly higher compared to traditional financial instruments. An element of the study also includes an analysis of selected legal regulations, including dedicated to the cryptocurrency market, and an assessment of the role of these acts in the context of risk mitigation for financial markets.

Keywords:

Cryptocurrencies, Price volatility, bitcoin, ether, GARCH

JEL Codes

G15, E44, K22

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Węgrzyn, P., Glicz, M., & Butor-Keler, A. (2025). Price volatility and regulatory risk of selected cryptocurrencies as a challenge for financial markets. Safe Bank, 99(2), 29–50. https://doi.org/10.26354/bb.2.2.99.2025

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