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Market impact and efficiency in cryptoassets markets

Author

Listed:
  • Emilio Barucci

    (Politecnico di Milano)

  • Giancarlo Giuffra Moncayo

    (Politecnico di Milano)

  • Daniele Marazzina

    (Politecnico di Milano)

Abstract

We analyze markets for cryptoassets (cryptocurrencies and stablecoins), investigating market impact and efficiency through the lens of the market order flow. We provide evidence that markets where cryptoassets are exchanged between themselves play a central role on price formation and are more efficient than markets where cryptocurrencies are exchanged with the US dollar. For the first set of markets we observe some evidence of the presence of insiders/contrarians, instead in the latter we observe the predominance of herding and trend-followers.

Suggested Citation

  • Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina, 2023. "Market impact and efficiency in cryptoassets markets," Digital Finance, Springer, vol. 5(3), pages 519-562, December.
    • Handle: RePEc:spr:digfin:v:5:y:2023:i:3:d:10.1007_s42521-023-00095-9
    DOI: 10.1007/s42521-023-00095-9
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    Cited by:

    1. Rzayev, Khaladdin & Sakkas, Athanasios & Urquhart, Andrew, 2025. "An adoption model of cryptocurrencies," European Journal of Operational Research, Elsevier, vol. 323(1), pages 253-266.

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    More about this item

    Keywords

    Stablecoin; Cryptocurrency; Liquidity; Efficiency; Market impact;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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