The destabilising effects of cryptocurrency cybercriminality

被引:62
作者
Corbet, Shaen [1 ]
Cumming, Douglas J. [2 ]
Lucey, Brian M. [3 ,4 ,5 ]
Peat, Maurice [5 ]
Vigne, Samuel A. [3 ]
机构
[1] Dublin City Univ, DCU Business Sch, Dublin 9, Ireland
[2] Florida Atlantic Univ, FAU Coll Business, Boca Raton, FL 33431 USA
[3] Trinity Coll Dublin, Trinity Business Sch, Dublin 2, Ireland
[4] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam
[5] Univ Sydney, Business Sch, Sydney, NSW, Australia
关键词
Price volatility; Cryptocurrency; Hacking; Cybercrime; Bitcoin; GARCH; CONTAGION;
D O I
10.1016/j.econlet.2019.108741
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper investigates the financial market effects of recent cybercriminality in cryptocurrency markets. Hacking events are found to increase both the price volatility of the targeted cryptocurrency and broad cross-cryptocurrency correlations. Further, cybercrime events significantly reduce price discovery sourced within the hacked currency relative to other cryptocurrencies. Finally, abnormal returns in the hours prior to the cybercrime event, revert to zero when news is publicly announced. (C) 2019 Elsevier B.V. All rights reserved.
引用
收藏
页数:8
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