The role of cryptocurrencies in the financial system has gradually increased and attracted great interest among investors. Recently, cryptocurrencies have started to be recognised as an alternative financial asset not only by investors but also by policy makers and academics. In order to identify the types of relationships between cryptocurrency markets, this research aims to empirically evaluate the relationships between markets in time and frequency space at different investment horizons. For this purpose, daily returns of six cryptocurrencies (Bitcoin, Ethereum, Binance Coin, Ripple, Cardano and Dogecoin) between 09.11.2017 and 17.09.2024 are analysed using wavelet coherence analysis. According to the results of the analysis, it was determined that cryptocurrency prices have higher volatility during crisis periods. It is observed that cryptocurrency markets are interdependent and there is a strong financial contagion effect between these assets during periods of financial crises. Co-movements between cryptocurrencies increased during periods such as the crypto winter, the COVID-19 pandemic and the Russia-Ukraine war in 2017-2018, indicating that the relationship between cryptocurrency returns is stronger in short, medium and long-term investment horizons and that investors develop similar risk perceptions during crisis periods and react similarly to global financial and geopolitical shocks. It is observed that cryptocurrency markets become more integrated as they mature and that there is a strong coherence in the price movements of these assets. Portfolio managers and investors may be advised to avoid including cryptocurrencies in their portfolios for short-term investments or during periods of financial crisis. On the other hand, it can be stated that it would be appropriate to include more crypto assets in portfolios during periods when the market is more stable. Considering the high correlation in cryptocurrency markets, it may be important for portfolio managers to diversify their crypto assets and invest in different asset classes to reduce risks.