On the stability of stablecoins

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annif.suggestionsvolatility (societal properties)|finance|currency|electronic money|means of payment|pricing|stability (physics)|Kolari|prices|GARCH models|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p10771|http://www.yso.fi/onto/yso/p1406|http://www.yso.fi/onto/yso/p3573|http://www.yso.fi/onto/yso/p3653|http://www.yso.fi/onto/yso/p8753|http://www.yso.fi/onto/yso/p10773|http://www.yso.fi/onto/yso/p3585|http://www.yso.fi/onto/yso/p94218|http://www.yso.fi/onto/yso/p750|http://www.yso.fi/onto/yso/p38162en
dc.contributor.authorGrobys, Klaus
dc.contributor.authorJunttila, Juha
dc.contributor.authorKolari, James W.
dc.contributor.authorSapkota, Niranjan
dc.contributor.departmentInnolab-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttps://orcid.org/0000-0002-4121-3606-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2021-10-28T13:24:53Z
dc.date.accessioned2025-06-25T13:19:53Z
dc.date.available2021-10-28T13:24:53Z
dc.date.issued2021-09-17
dc.description.abstractThis paper investigates the volatility processes of stablecoins and their potential stochastic interdependencies with Bitcoin volatility. We employ a novel approach to choose the optimal combination for the power law exponent and the minimum value for the volatilities bending the power law. Our results indicate that Bitcoin volatility is well-behaved in a statistical sense with a finite theoretical variance. Surprisingly, the volatilities of stablecoins are statistically unstable and contemporaneously respond to Bitcoin volatility. Also, whereas the volatilities of stablecoins are not Granger-causal for Bitcoin volatility, lagged Bitcoin volatility exhibits Granger-causal effects on the volatilities of stablecoins. We conclude that Bitcoin volatility is a fundamental factor that drives the volatilities of stablecoins.-
dc.description.notification©2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent17-
dc.format.pagerange207-223-
dc.identifier.olddbid14975
dc.identifier.oldhandle10024/13151
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1939
dc.identifier.urnURN:NBN:fi-fe2021102852847-
dc.language.isoeng-
dc.publisherElsevier-
dc.relation.doi10.1016/j.jempfin.2021.09.002-
dc.relation.ispartofjournalJournal of Empirical Finance-
dc.relation.issn1879-1727-
dc.relation.issn0927-5398-
dc.relation.urlhttps://doi.org/10.1016/j.jempfin.2021.09.002-
dc.relation.volume64-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:000707235500002-
dc.source.identifierScopus: 85116044595-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/13151
dc.subjectBitcoin-
dc.subjectFinancial technology-
dc.subjectPower laws-
dc.subjectSpillovers-
dc.subjectStablecoins-
dc.subjectVolatility-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.subject.ysovolatility (societal properties)-
dc.titleOn the stability of stablecoins-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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