Market impact and efficiency in cryptoassets markets

Abstract

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.