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

【Author】 Kolodziejczyk, Hanna

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【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 cryp-tocurrency 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

【发表时间】2023 MAY

【收录时间】2023-06-04

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