Market uncertainty and correlation between Bitcoin and Ether
Market uncertainty and correlation between Bitcoin and Ether
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市场不确定性以及比特币和以太坊之间的相关性
DOI：
10.1016/j.frl.2022.103216
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发表时间：
2022
影响因子：
10.4
通讯作者：
Sakemoto Ryuta
中科院分区：
文献类型：
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作者：
Nakagawa Kei;Sakemoto Ryuta
本研究探讨了市场状态是否会影响比特币-以太币的相关性。由于以太币的普及，我们观察到平均相关性的增加。我们还发现，不确定性的增加导致比特币与以太币的相关性较低，这表明投资者在市场不确定性高的时期会修正相对估值。比特币-以太币相关性与不确定性之间的关系是非线性的，我们的搜索量结果表明，在不确定性期间，投资者对这两种加密货币的关注都会增加。
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.