Blockchain Currency Markets

Angelo Ranaldo, Ganesh Viswanath-Natraj and Junxuan Wang
Additional contact information
Ganesh Viswanath-Natraj: Warwick Business School
Junxuan Wang: University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School

No 24-29, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We conduct the first comprehensive study of blockchain currencies, stablecoins pegged to traditional currencies and traded on decentralized exchanges. Our findings reveal that the blockchain market generally operates efficiently, with blockchain prices and trading volumes closely aligned with those of their traditional counterparts. However, blockchain-specific factors, such as gas fees and Ethereum volatility, act as frictions. Blockchain prices are determined by macroeconomic fundamentals and order flow. We use a rich transaction-level database of trades and link it to the characteristics of market participants. Traders with significant market share and access to the primary market have a greater impact on pricing, likely due to informational advantages.

Keywords: Stablecoins; foreign exchange; blockchain; price efficiency; market resilience; microstructure (search for similar items in EconPapers)
JEL-codes: D53 E44 F31 G18 G20 G28 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2024-04
New Economics Papers: this item is included in nep-ban, nep-ifn, nep-mon, nep-mst and nep-pay
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2429

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