This paper quantitatively analyses the development status and market share of cryptocurrencies by collecting relevant information and explores the correlation between the cryptocurrency market and the performance of China’s financial market and financial market pressure through the correlation analysis method. Using VAR model impulse analysis to portray the dynamic relationship between cryptocurrencies and the financial market during unexpected events can help show the risk changes of the cryptocurrency market more intuitively. The analysis shows that cryptocurrencies have entered a stage of explosive development, and by 2023, their overall market value will reach about $3 trillion. Among them, Bitcoin has a market share of 39.8%. The correlation coefficients of Bitcoin, Litecoin, Ethereum, and Ripple with the Chinese financial market are -0.0138, −0.0225, −0.0114, and −0.0143, which are negatively correlated. There is a correlation between cryptocurrencies and the impact of market volatility.