Market impact and efficiency in cryptoassets markets

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

Digital Finance, 2023, vol. 5, issue 3, No 3, 519-562

Abstract: Abstract We analyze markets for cryptoassets (cryptocurrencies and stablecoins), investigating market impact and efficiency through the lens of the market order flow. We provide evidence that markets where cryptoassets are exchanged between themselves play a central role on price formation and are more efficient than markets where cryptocurrencies are exchanged with the US dollar. For the first set of markets we observe some evidence of the presence of insiders/contrarians, instead in the latter we observe the predominance of herding and trend-followers.

Keywords: Stablecoin; Cryptocurrency; Liquidity; Efficiency; Market impact (search for similar items in EconPapers)
JEL-codes: E41 E50 (search for similar items in EconPapers)
Date: 2023
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s42521-023-00095-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:digfin:v:5:y:2023:i:3:d:10.1007_s42521-023-00095-9

Ordering information: This journal article can be ordered from
https://www.springer.com/finance/journal/42521

DOI: 10.1007/s42521-023-00095-9

Access Statistics for this article

Digital Finance is currently edited by Wolfgang Karl Härdle, Steven Kou and Min Dai

More articles in Digital Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().