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Non-linearities, cyber attacks and cryptocurrencies

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

Finance Research Letters, 2020, vol. 32, issue C

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 (search for similar items in EconPapers)
JEL-codes: C22 E4 G1 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319309377

DOI: 10.1016/j.frl.2019.09.012

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