Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach

Hanna Kołodziejczyk

The North American Journal of Economics and Finance, 2023, vol. 66, issue C

Abstract: This study investigates the diversifier, hedge and safe haven properties of stablecoins against various financial assets including cryptocurrencies such as Bitcoin, Ether, XRP and stock market indices. Using quantile coherency we show that stablecoins included in the study act as weak hedges in normal conditions and weak safe havens when considering moments of market turmoil and there is little evidence to support the existence of any contagion effects between the cryptocurrency and stablecoin markets. Aforementioned results are not significantly influenced by the choice of investment horizon. We further evaluate the implications of those results for the question of whether stablecoins are in fact stable.

Keywords: Stablecoin; Cryptocurrency; Diversifier; Hedge; Safe haven; Quantile coherency (search for similar items in EconPapers)
JEL-codes: C01 F39 G11 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000359

DOI: 10.1016/j.najef.2023.101912

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