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

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  • Kołodziejczyk, Hanna

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.

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  • Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000359
    DOI: 10.1016/j.najef.2023.101912
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    More about this item

    Keywords

    Stablecoin; Cryptocurrency; Diversifier; Hedge; Safe haven; Quantile coherency;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • F39 - International Economics - - International Finance - - - Other
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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