Measuring the impact of digital exchange cyberattacks on Bitcoin Returns

George Milunovich and Seung Ah Lee

Economics Letters, 2022, vol. 221, issue C

Abstract: We investigate the impact on Bitcoin returns arising from cyberattacks on digital exchanges over the 2012–2021 period. In particular, we test the hypothesis that Bitcoin experiences lower returns on the dates associated with cybersecurity breaches of cryptocurrency exchanges. We find a negative and statistically significant impact where Bitcoin price declines by about 1.513 percent on the cyberattack days. However, a subsample analysis suggests that while the estimated effect is somewhat larger over the 2012–2018 period, it has lessened and become statistically insignificant in the more recent 2019–2021 subsample.

Keywords: Bitcoin; Cryptocurrency exchange breach; Cyberattack; GARCH (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:221:y:2022:i:c:s0165176522003676

DOI: 10.1016/j.econlet.2022.110893

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