Cyber-attacks, spillovers and contagion in the cryptocurrency markets

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

Journal of International Financial Markets, Institutions and Money, 2021, vol. 74, issue C

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.

Keywords: Crypto currencies; Cyber-attacks; Mean and volatility spillovers; Contagion (search for similar items in EconPapers)
JEL-codes: C32 F30 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Related works:
Working Paper: Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000172

DOI: 10.1016/j.intfin.2021.101298

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