Market uncertainty and correlation between Bitcoin and Ether

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.