Journal
FINANCE RESEARCH LETTERS
Volume 50, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2022.103216
Keywords
VIX; ADCC GARCH; Cryptocurrencies; Gold; Quantile regression
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This study investigates the impact of market states on the correlation between Bitcoin and Ethereum. The findings reveal that the correlation increases with the popularity of Ethereum and decreases during periods of high market uncertainty, indicating that investors reassess the relative valuation of the two cryptocurrencies. Furthermore, the relationship between the Bitcoin-Ethereum correlation and uncertainty is nonlinear, and search volume results indicate increased attention from investors during uncertain periods.
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.
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