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Market uncertainty and correlation between Bitcoin and Ether

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  • Nakagawa, Kei
  • Sakemoto, Ryuta

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.

Suggested Citation

  • Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004214
    DOI: 10.1016/j.frl.2022.103216
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    Cited by:

    1. Kubo, Kenji & Nakagawa, Kei & Mizukami, Daiki & Acharya, Dipesh, 2023. "Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control," Finance Research Letters, Elsevier, vol. 53(C).
    2. Konstantin Hausler, 2022. "ETF construction on CRIX," Papers 2211.15260, arXiv.org, revised Mar 2023.

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