Cyber-attacks, spillovers and contagion in the cryptocurrency markets

【Author】 Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber-attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets and number per day of cyber-attacks. Significant dynamic linkages (interdependence) between the three cryptocurrencies under investigation are found in most cases when cyber-attacks are taken into account, Bitcoin appearing to be the dominant cryptocurrency. Further, Wald tests for parameter shifts during episodes of turbulence resulting from cyber-attacks provide evidence that the latter affect the transmission mechanism between cryptocurrency returns and volatilities (contagion). More precisely, cyber-attacks appear to strengthen cross-market linkages, thereby reducing portfolio diversification opportunities for cryptocurrency investors. Finally, the conditional correlation analysis confirms the previous findings. (C) 2021 The Author(s). Published by Elsevier B.V.

【Keywords】Crypto currencies; Cyber-attacks; Mean and volatility spillovers; Contagion

【发表时间】2021 SEP

【收录时间】2022-01-02

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