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http://bura.brunel.ac.uk/handle/2438/22171
Title: | Cyber attacks, spillovers and contagion in the cryptocurrency markets |
Authors: | Caporale, GM Kang, W-Y Spagnolo, F Spagnolo, N |
Keywords: | crypto currencies;cyber-attacks;mean and volatility spillovers;contagion |
Issue Date: | 18-Jan-2021 |
Publisher: | Elsevier BV |
Citation: | Caporale, G.M., Kang, W.-Y., Spagnolo, F. and Spagnolo, N. (2021) 'Cyber attacks, spillovers and contagion in the cryptocurrency markets', Journal of International Financial Markets, Institutions and Money, in press, 101298, pp. 1-19. doi: 10.1016/j.intfin.2021.101298. |
Abstract: | Copyright © 2021 The Author(s). This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber-attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets and number per day of cyber-attacks. Significant dynamic linkages (interdependence) between the three cryptocurrencies under investigation are found in most cases when cyber-attacks are taken into account, Bitcoin appearing to be the dominant cryptocurrency. Further, Wald tests for parameter shifts during episodes of turbulence resulting from cyber-attacks provide evidence that the latter affect the transmission mechanism between cryptocurrency returns and volatilities (contagion). More precisely, cyber-attacks appear to strengthen cross-market linkages, thereby reducing portfolio diversification opportunities for cryptocurrency investors. Finally, the conditional correlation analysis confirms the previous findings. |
URI: | https://bura.brunel.ac.uk/handle/2438/22171 |
DOI: | https://doi.org/10.1016/j.intfin.2021.101298 |
ISSN: | 1042-4431 |
Other Identifiers: | 101298 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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