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<p>This paper examines the multifractality and efficiency of the stablecoin market. For this purpose, two stablecoins, Tether and USD Coin (USDC), are selected based on the market capitalization. Bitcoin, a volatile cryptocurrency, is used for comparison purposes. The timeframe for the study is from 9/10/2018 to 23/03/2023. Chow Denning variance ratio test (CD) reveals that Tether and USDC lack efficiency, while Bitcoin shows efficiency. This paper uses the Multifractal Detrended Fluctuation Analysis (MF-DFA) to investigate multifractality of the coins. The results reveal that USDC, Tether, and Bitcoin exhibit multifractality. A Magnitude of Long Memory (MLM) is constructed to strengthen the derived results further. The results of MLM show that Tether has the highest level of inefficiency, followed by Bitcoin<b>.</b> The findings further show that the stablecoins and Bitcoin are statistically significant, which means they possess long memory, strengthening the fact that the chosen stablecoins and Bitcoin lack efficiency. The findings of this study can assist investors in making well-informed decisions and formulating strategies regarding selecting appropriate crypto assets in their investment portfolios.</p>

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Efficient Market Hypothesis Versus Multifractality: Evidence from the Stablecoin Market

  • 期刊论文

  • 发表日期：

    2025年2月7日

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  • Meghna Jayasankar

摘要

This paper examines the multifractality and efficiency of the stablecoin market. For this purpose, two stablecoins, Tether and USD Coin (USDC), are selected based on the market capitalization. Bitcoin, a volatile cryptocurrency, is used for comparison purposes. The timeframe for the study is from 9/10/2018 to 23/03/2023. Chow Denning variance ratio test (CD) reveals that Tether and USDC lack efficiency, while Bitcoin shows efficiency. This paper uses the Multifractal Detrended Fluctuation Analysis (MF-DFA) to investigate multifractality of the coins. The results reveal that USDC, Tether, and Bitcoin exhibit multifractality. A Magnitude of Long Memory (MLM) is constructed to strengthen the derived results further. The results of MLM show that Tether has the highest level of inefficiency, followed by Bitcoin. The findings further show that the stablecoins and Bitcoin are statistically significant, which means they possess long memory, strengthening the fact that the chosen stablecoins and Bitcoin lack efficiency. The findings of this study can assist investors in making well-informed decisions and formulating strategies regarding selecting appropriate crypto assets in their investment portfolios.