Abstract This study explores the higher-order moments of connectedness among cryptocurrency, commodity, bond, and stock markets from April 19, 2017, to December 29, 2023, on the basis of the GARCH-SK and TVP-VAR models. The findings reveal that Bitcoin and Ethereum act as significant net shock transmitters, especially during major events such as the COVID-19 pandemic and the Russia–Ukraine conflict. After mid-2021, these cryptocurrencies transitioned from net receivers to net transmitters of volatility owing to rising economic and geopolitical risks. These insights assist in portfolio diversification strategies. By combining shock transmitters with shock-resilient cryptocurrencies, investors can enhance their risk profiles. Diversification opportunities shift during financial crises, making it crucial to focus on shock transmitters, which are less influenced by various risk factors. Additionally, the study highlights cryptocurrencies as potential safe havens compared with traditional assets such as gold, bonds, and stocks, which often maintain or appreciate value during market stress. TVP-VAR-informed dynamic portfolio reallocation can improve risk-adjusted returns and lower volatility, aiding in capital preservation during high TCI periods. Overall, our findings suggest that portfolios that include cryptocurrencies generally outperform those that do not, emphasizing their role as effective diversifiers in portfolio optimization and financial stability. Additionally, the study highlights cryptocurrencies as potential safe havens compared with traditional assets such as gold, bonds, and stocks, which often maintain or appreciate value during market stress. TVP-VAR-informed dynamic portfolio reallocation can improve risk-adjusted returns and lower volatility, aiding in capital preservation during high TCI periods. Overall, our findings suggest that portfolios that include cryptocurrencies generally outperform those that do not, emphasizing their role as effective diversifiers in portfolio optimization and financial stability. 2024 ) examine the connectedness between cryptocurrencies, commodities, and stock markets to develop effective portfolio allocations. However, we also consider spillovers between cryptocurrencies and bond markets to highlight their role in hedging against monetary policy shocks. Second, we investigate the connectedness of returns and volatility between cryptocurrencies and traditional financial markets to assess market asymmetry during times of economic and geopolitical risk. The significant kurtosis spillover points to the susceptibility of the oil and stock markets to extreme events, resulting in sharper reactions to crises or unexpected economic news than normal fluctuations. Additionally, the elevated kurtosis spillover may illustrate a stronger transmission of tail risks between cryptocurrency and other financial markets. Among the assets assessed, the German stock market, Bitcoin, and Ethereum demonstrate the lowest diagonal elements, whereas the USDT, crude oil, and 5-year U.S. Treasury bond markets exhibit relatively higher kurtosis spillovers to the overall system. In contrast, the U.S. and Indian stock markets contribute the least to this connectedness. In terms of net connectedness, most markets, except for USDT, crude oil, and the 5-year U.S. Treasury bond markets, receive kurtosis spillovers, underscoring the interconnected nature of financial markets during extreme fluctuations. Dynamic connectedness findings To analyze the dynamic connectedness among cryptocurrencies, Notably, the cryptocurrency market displays strong and consistent net skewness spillovers to the German and Indian stock markets, particularly during 2020 and 2021. Conversely, the U.S. stock market, the 5-year Treasury bond, and gold receive comparatively less net skewness spillover from cryptocurrencies. As demonstrated in Panel D, dynamic net pairwise kurtosis spillovers are largely positive, suggesting that cryptocurrencies, bonds, crude oil, and gold transmit significant net kurtosis spillovers to stock markets. By combining shock transmitters with shock-resilient cryptocurrencies, investors can significantly enhance their risk profiles. Diversification opportunities shift during financial crises, making it essential for investors to focus on holding shock transmitters while minimizing exposure to shock receivers, as transmitters are affected by fewer risk factors. Furthermore, our study reveals cryptocurrencies’ potential as safe havens compared with traditional assets such as gold, bonds, and stocks. During market stress, cryptocurrencies often maintain or appreciate, owing to their intrinsic scarcity and commodity-like nature, which protects them from currency fluctuations. Time-varying ımpacts of cryptocurrency, commodity, bond, and stock markets We employ the time-varying impulse response function (IRF) to examine how the cryptocurrency market impacts the commodity, bond, and stock markets during various financial and geopolitical crises, such as the COVID-19 outbreak, the Russia–Ukraine war, and the Silicon Valley Bank collapse. This model allows us to observe how the impulse responses evolve when a positive shock is introduced at different points in time. We analyze the responses one day after the shock, from days 5–10 after, and beyond 10 days after the shock to capture short-term, medium-term, and long-term effects, respectively. https://doi.org/10.1007/978-981-19-1547-2_14 Chapter Google Scholar Yousfi M, Zaied YB, Tliche Y (2023) US stock market and cryptocurrencies during the COVID-19 pandemic outbreak. In: Ben Ameur H, Ftiti Z, Louhichi W, Prigent J-L (eds) Crises and uncertainty in the economy. Springer Nature, Singapore, pp 171–186. https://doi.org/10.1007/978-981-19-5740-8_11 Chapter Google Scholar Zeng T, Yang M, Shen Y (2020) Fancy Bitcoin and conventional financial assets: measuring market integration based on connectedness networks. Econ Model 90:209–220.