Abstract: This thesis seeks to assess the return and volatility spillovers that occur between cryptocurrencies, stock market, oil prices among selected GCC countries during 2018-2024. Using Diagonal BEKK model, the return and volatility spillover are assessed for three cryptocurrencies namely Bitcoin cash, Ethereum and Bitcoin, Crude oil prices and the stock market indices of GCC countries namely BAX, MSX 30, QE General Index and TASI. The empirical findings demonstrate that there is no or little return spillover between crude oil, stock market indices, and cryptocurrencies. The GCC's crude oil prices, stock market indices, and cryptocurrency values are all highly volatile.