Purpose: This paper investigates the interconnectedness of the five largest cryptocurrencies in terms of market capitalization namely, Bitcoin, Ethereum, Ripple, Bitcoin Cash and Litecoin through a volatility spillover inspection. It also studies the hedging and/or safe haven capabilities of Ethereum, the second largest cryptocurrency in terms of market capitalization, against the main conventional currencies and the traditional assets in the United States and the European markets. Design/methodology/approach: In the first part of the research, univariate general autoregressive conditional ...