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Does Pegging Affect Market Efficiency? Assessing Long Memory in Stablecoin and Cryptocurrency Markets

Qing Yan et al.

International Finance2026https://doi.org/10.1111/infi.70020article
ABDC B
Weight
0.50

Abstract

Stablecoins attract academic interest because of their value‐pegging mechanisms and price stability. This likely results in distinct market efficiency. This study compares stablecoins (USDC, Tether, Dai) with Bitcoin and Ethereum and assesses long memory through the Hurst exponent while addressing distortions caused by heavy tails and extreme events. Through shuffled and rank‐order series with a sliding‐window approach, we provide the first reliable time‐varying analysis. The results show that stablecoins exhibit inefficiency and anti‐persistence, with Tether being relatively more efficient. Their tail properties are highly sensitive to extreme events. In contrast, Bitcoin and Ethereum maintain stable weak‐form efficiency even during the COVID‐19 pandemic. These differences are linked to stablecoins' US dollar pegging mechanisms and regulatory constraints. The findings of this study enable comparisons of market efficiency between stablecoins and unpegged cryptocurrencies and offer insights for regulation and investment decisions.

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https://doi.org/https://doi.org/10.1111/infi.70020

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@article{qing2026,
  title        = {{Does Pegging Affect Market Efficiency? Assessing Long Memory in Stablecoin and Cryptocurrency Markets}},
  author       = {Qing Yan et al.},
  journal      = {International Finance},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1111/infi.70020},
}

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Does Pegging Affect Market Efficiency? Assessing Long Memory in Stablecoin and Cryptocurrency Markets

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.