On the determinants of data breaches: A cointegration analysis

Domenico Giovanni (), Arturo Leccadito () and Marco Pirra ()
Additional contact information
Domenico Giovanni: Università della Calabria
Arturo Leccadito: Università della Calabria
Marco Pirra: Università della Calabria

Decisions in Economics and Finance, 2021, vol. 44, issue 1, No 9, 160 pages

Abstract: Abstract Cyber risks and particularly data breaches constitute one of the new frontiers of risk modeling for insurers across the world. We use the cointegration methodology to uncover the relation between data breaches and Bitcoin-related variables. We perform our analyses on two different datasets of data breaches. In both cases, we provide statistical evidence of a bidirectional lead–lag relation in the short run between the variables under investigation. Moreover, the existence of a cointegrating vector suggests that this relation is likely to persist in the long run. To evaluate the quantitative implications of the relations found, we complement the study with Granger causality tests, impulse response analyses and variance decompositions of the forecasting errors.

Keywords: Emerging risks; Cyber risk; Data breaches (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10203-020-00301-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00301-y

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10203/PS2

DOI: 10.1007/s10203-020-00301-y

Access Statistics for this article

Decisions in Economics and Finance is currently edited by Paolo Ghirardato

More articles in Decisions in Economics and Finance from Springer, Associazione per la Matematica
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().