Cryptocurrencies and stablecoins: a high-frequency analysis

Emilio Barucci, Giancarlo Giuffra Moncayo and Daniele Marazzina ()
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Emilio Barucci: Politecnico di Milano
Giancarlo Giuffra Moncayo: Politecnico di Milano
Daniele Marazzina: Politecnico di Milano

Digital Finance, 2022, vol. 4, issue 2, No 12, 217-239

Abstract: Abstract We analyze cryptoasset markets (cryptocurrencies and stablecoins) at high frequency. We investigate intraday patterns. We show that Tether plays a crucial role as a safe haven and/or store of value facilitating trading in cryptocurrencies without going through traditional currencies. Markets centered on cryptocurrencies and stablecoins play a primary role aggregating preference/technology shocks and heterogeneous opinions, instead markets centered on the US dollar play a marginal role on price formation.

Keywords: Stablecoin; Cryptocurrency; Intraday; Time series (search for similar items in EconPapers)
JEL-codes: E41 E50 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s42521-022-00055-9

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