Non-Linearities, Cyber Attacks and Cryptocurrencies

Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo

No 7692, CESifo Working Paper Series from CESifo

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 - 28/2/2019. 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: crypto currencies; cyber attacks; regime switching (search for similar items in EconPapers)
JEL-codes: C22 E40 G10 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac and nep-pay
References: Add references at CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Non-linearities, cyber attacks and cryptocurrencies (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7692

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