Do Ethereum (ETH) and Bitcoin (BTC) exhibit a reliable lead-lag relationship? To investigate, we compute:
- Pearson correlations between daily ETH return and daily BTC return for relationships ranging from BTC return leads ETH return by 10 days (-10) to ETF return leads BTC return by 10 days (10).
- Pearson correlations between monthly ETH return and monthly BTC return for relationships ranging from BTC return leads ETH return by six months (-6) to ETF return leads BTC return by six months (6).
Using daily and monthly ETH and BTC prices in U.S. dollars from November 9, 2017 (ETH inception) through September 15, 2025, we find that:
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