Cryptocurrency has developed to occupy an enormous market size, and its subtle relation with other financial assets is ready to emerge. To uncover the interface between the cryptocurrency market and the traditional capital market, we study the correlationship among various significant economic variables. We aim to build a vector autoregressive (VAR) model for Bitcoin, Ethereum, NASDAQ index, Dow Jones index, Bond, and Gold. By applying statistical methods like covariance matrix, impulse response analysis, and variance decomposition, we discover the mutual impact and feedback mechanism among cryptocurrency prices, stock indexes, and safe assets. Without any central authority, the cryptocurrency turns out to be a unique asset population compared with bonds and stocks, as shown in the cluster analysis. Furthermore, we claim that cryptocurrency has the property of speculative financial assets and provide a method to find the potential driver of its price.