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. •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.•The relationship between the Bitcoin-Ether correlation and uncertainty is nonlinear.•Our search volume results show that investors’ attention for both cryptocurrencies increases during the uncertainty periods.