Price correlation between Bitcoin and Ether from Jan 2017 to Jul 2019

Authors: Marcel Kaiser, Philipp Sandner

Last changed: 26th August 2019
Originally posted: 26th August 2019
Data from: 28th July 2019

Moving window correlations of Bitcoin and Ether prices for different time windows (10, 21 and 90 days) and the respective courses from January 2017 to July 2019. Figure and data provided by the International Token Standardization Association (ITSA) e.V.

You are invited to download this figure and distribute it or use it for your own purposes. This figure is free for use. For reference, please use “(TOKENBASE, 2019)” and “TOKENBASE, version of April 2019, International Token Standardization Association (ITSA), see www.itsa.global” in the footnote.

This diagram displays a timeline of Bitcoin and Ether prices (normalized) and their respective correlations for different time frames. The price movements of the two largest cryptocurrencies mostly align. Ether (the native token of the Ethereum blockchain) shows less fluctuation as well as a slight time lag of major movements. High correlations can be observed frequently. Especially when prices move, however, correlations drop. On the most granular level (10-day correlation), major fluctuation of correlation can be seen which has steadily reduced in severity. This observation is due to the increased exposure of crypto assets to the public with these two currencies as figureheads (which can also be seen in their market capitalization).

Correlation coefficients are used in order to measure how strongly related two variables are. In this case, we compared the prices of the two most common crypto assets in US-Dollar. In finance, the correlation coefficient of an asset against a benchmark is often referred to as “beta”.

An increasing correlation indicates that the valuation of individual cryptocurrencies may be highly correlated with the trust in the whole phenomenon of blockchain technology. Significant reductions in moving window correlations can be explained by singular events concerning only one of the two market leaders. These individual factors are also referred to as idiosyncratic factors.

Greater fluctuations in the correlations of Ether and Bitcoin in the shorter time window can be explained by higher weight on singular events in each time frame. Thus, the 90-day correlation looks smoother and more stable. Each of the correlation windows shows an increasing trend, thus Ether and Bitcoin tend to be coupled strongly in comparison to highly speculative altcoins.

ITSA’s database allows its users to compare such values for any given time.

About ITSA

The International Token Standardization Association (ITSA) e.V. is a not for profit association of German law that aims at promoting the development and implementation of comprehensive market standards for the identification, classification and analysis of DLT- and blockchain-based cryptographic tokens.

 

So far various reputable organizations have already committed to join ITSA as associated founding members, reaching from corporates (e.g. Commerzbank’s Main Incubator, Bank Frick, MME, Börse Stuttgart) over associations (e.g. Bundesverband deutscher Banken, the German Investment Funds Association BVI), startups (e.g. Cashlink, solarisBank, CryptoTax, and Ambrosus) and universities (e.g. Frankfurt School of Finance and Management, University of Mainz, TU Munich, Hasso Plattner Institute or UCL Centre for Blockchain Technologies in London) to private members (one of the co-creators of the ERC20 standard).

 

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