Jan 1, 2020·European Journal of Finance
105 cites
Lai T. Hoang, Dirk G. Baur
This paper analyzes the stability of stablecoins and proposes a framework to test for absolute and relative stability of stablecoins. Based on high-frequency data, we find strong evidence of excess price variations. While Bitcoin is a likely source of this excess volatility because stablecoin returns, volatility and volumes are highly correlated with corresponding Bitcoin time-series, we also demonstrate through a quasi-natural experiment that stablecoins increase the trading volume of Bitcoin. The findings suggest stablecoins play a key role in cryptocurrency markets.
Open access
2 source records
Market Dynamics and Volatility
Financial Markets and Investment Strategies
Complex Systems and Time Series Analysis