Market uncertainty and correlation between Bitcoin and Ether

Kei Nakagawa, Ryuta Sakemoto

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


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.

Original languageEnglish
Article number103216
JournalFinance Research Letters
Publication statusPublished - Dec 2022


  • Cryptocurrencies
  • Gold
  • Quantile regression
  • VIX

ASJC Scopus subject areas

  • Finance


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