Non-linearities, cyber attacks and cryptocurrencies

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

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper uses a Markov-switching non-linear specification to analyse the effects of cyber attacks on returns in the case of four cryptocurrencies (Bitcoin, Ethernam, Litecoin and Stellar) over the period 8/8/2015-2/28/2019. The analysis considers both cyber attacks in general and those targeting cryptocurrencies in particular, and also uses cumulative measures capturing persistence. On the whole, the results suggest the existence of significant negative effects of cyber attacks on the probability for cryptocurrencies to stay in the low volatility regime. This is an interesting finding, that confirms the importance of gaining a deeper understanding of this form of crime and of the tools used by cybercriminals in order to prevent possibly severe disruptions to markets.

【Keywords】Cryptocurrencies; Cyber attacks; Regime switching

【发表时间】2020 JAN

【收录时间】2022-01-02

【文献类型】

【主题类别】

--