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This study investigates how the uncertainty surrounding cryptocurrency affects cryptocurrency returns (CR) by employing various wavelet techniques. We concentrate on the recently published cryptocurrency uncertainty index (UCRY) and the top eight cryptocurrencies by market capitalization from December 30, 2013, to June 30, 2023. Our results showed that the UCRY index strongly predicted CR. In particular, the UCRY index has a leading position at all frequencies for all cryptocurrencies in our sample. Additionally, when the impacts of economic policy uncertainty and the volatility index are eliminated, the significant comovement of UCRY-CR remains unchanged for the short-, medium-, and long-term investment horizons. Therefore, we conclude that the UCRY-CR relationship is both persistent and pervasive. Our study contributes toward the literature on the relationships between cryptocurrencies and market uncertainties, as well as toward investors who use uncertainty indices to design investment strategies for their portfolios. [ABSTRACT FROM AUTHOR]