  Although Bitcoin has long been dominant in the crypto scene, it is certainly
not alone. Ether is another cryptocurrency related project that has attracted
an intensive attention because of its additional features. This study seeks to
test whether these cryptocurrencies differ in terms of their volatile and
speculative behaviors, hedge, safe haven and risk diversification properties.
Using different econometric techniques, we show that a) Bitcoin and Ether are
volatile and relatively more responsive to bad news, but the volatility of
Ether is more persistent than that of Bitcoin; b) for both cryptocurrencies,
the exuberance and the collapse of bubbles were identified, but Bitcoin appears
more speculative than Ether; c) there is negative and significant correlation
between Bitcoin/Ether and other assets (S\&P500 stocks, US bonds, oil), which
would indicate that digital currencies can hedge against the price movements of
these assets; d) there is negative tail independence between Bitcoin/Ether and
other financial assets, implying that these cryptocurrencies exhibit the
function of a weak safe haven; and e) The inclusion of Bitcoin/ Ether in a
portfolio improve its efficiency in terms of higher reward-to-risk ratios. But
investors who hold diversified portfolios made of stocks or bonds and Ether may
face losses over bearish regime. In such situation, stock and bond investors
may take a short position on Bitcoin.
