Market uncertainty and correlation between Bitcoin and Ether

【Author】 Nakagawa, Kei; Sakemoto, Ryuta

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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

【发表时间】2022 DEC

【收录时间】2022-09-06

【文献类型】实证数据

【主题类别】

区块链技术-平台项目-Ethereum