This paper investigates the financial market effects of recent cybercriminality in cryptocurrency markets. Hacking events are found to increase both the price volatility of the targeted cryptocurrency and broad cross-cryptocurrency correlations. Further, cybercrime events significantly reduce price discovery sourced within the hacked currency relative to other cryptocurrencies. Finally, abnormal returns in the hours prior to the cybercrime event, revert to zero when news is publicly announced.
The destabilising effects of cryptocurrency cybercriminality / Corbet, S.; Cumming, D. J.; Lucey, B. M.; Peat, M.; Vigne, Samuel Alexandre. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 191:(2020), pp. 1-8. [10.1016/j.econlet.2019.108741]
The destabilising effects of cryptocurrency cybercriminality
Vigne, S. A.
2020
Abstract
This paper investigates the financial market effects of recent cybercriminality in cryptocurrency markets. Hacking events are found to increase both the price volatility of the targeted cryptocurrency and broad cross-cryptocurrency correlations. Further, cybercrime events significantly reduce price discovery sourced within the hacked currency relative to other cryptocurrencies. Finally, abnormal returns in the hours prior to the cybercrime event, revert to zero when news is publicly announced.
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