Market uncertainty and correlation between Bitcoin and Ether

Kei Nakagawa and Ryuta Sakemoto

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This study investigates whether market states impact the Bitcoin-Ether correlation. We observe an increase in the average correlation due to a rise in popularity of Ether. We also find that an increase in uncertainty leads to the low Bitcoin-Ether correlation, suggesting that investors revise the relative valuation during high market uncertainty periods. The relationship between the Bitcoin-Ether correlation and uncertainty is nonlinear, and our search volume results show that investors’ attention to both cryptocurrencies increases during the uncertainty periods.

Keywords: VIX; ADCC GARCH; Cryptocurrencies; Gold; Quantile regression (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004214

DOI: 10.1016/j.frl.2022.103216

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