The destabilising effects of cryptocurrency cybercriminality

Shaen Corbet; Douglas J. Cumming; Brian M. Lucey; Maurice Peat; Samuel A. Vigne

doi:10.1016/j.econlet.2019.108741

The destabilising effects of cryptocurrency cybercriminality

Shaen Corbet
, Douglas J. Cumming
, Brian M. Lucey
, Maurice Peat
, Samuel A. Vigne

School of Business

Dublin City University
Trinity College Dublin
University of Economics Ho Chi Minh City
The University of Sydney

Research output: Contribution to journal › Article › peer-review

98 Scopus citations

Abstract

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.

Original language	English
Article number	108741
Journal	Economics Letters
Volume	191
DOIs	https://doi.org/10.1016/j.econlet.2019.108741
State	Published - Jun 2020

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 16 Peace, Justice and Strong Institutions

Keywords

Bitcoin
Cryptocurrency
Cybercrime
GARCH
Hacking
Price volatility

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10.1016/j.econlet.2019.108741

Cite this

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title = "The destabilising effects of cryptocurrency cybercriminality",

abstract = "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.",

keywords = "Bitcoin, Cryptocurrency, Cybercrime, GARCH, Hacking, Price volatility",

author = "Shaen Corbet and Cumming, \{Douglas J.\} and Lucey, \{Brian M.\} and Maurice Peat and Vigne, \{Samuel A.\}",

note = "Publisher Copyright: {\textcopyright} 2019 Elsevier B.V.",

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doi = "10.1016/j.econlet.2019.108741",

language = "English",

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AU - Cumming, Douglas J.

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AU - Peat, Maurice

AU - Vigne, Samuel A.

PY - 2020/6

Y1 - 2020/6

N2 - 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.

AB - 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.

KW - Bitcoin

KW - Cryptocurrency

KW - Cybercrime

KW - GARCH

KW - Hacking

KW - Price volatility

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UR - https://www.scopus.com/pages/publications/85073921029#tab=citedBy

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SN - 0165-1765

VL - 191

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JF - Economics Letters

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ER -

The destabilising effects of cryptocurrency cybercriminality

Abstract

UN SDGs

Keywords

Access to Document

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