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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Kang, W-Y | - |
dc.contributor.author | Spagnolo, F | - |
dc.contributor.author | Spagnolo, N | - |
dc.date.accessioned | 2021-02-04T13:55:45Z | - |
dc.date.available | 2021-06-25 | - |
dc.date.available | 2021-02-04T13:55:45Z | - |
dc.date.issued | 2021-01-18 | - |
dc.identifier | 101298 | - |
dc.identifier.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. | en_US |
dc.identifier.issn | 1042-4431 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/22171 | - |
dc.description.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. | - |
dc.format.extent | 1 - 19 (19) | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Elsevier BV | en_US |
dc.rights | Copyright © 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | crypto currencies | en_US |
dc.subject | cyber-attacks | en_US |
dc.subject | mean and volatility spillovers | en_US |
dc.subject | contagion | en_US |
dc.title | Cyber attacks, spillovers and contagion in the cryptocurrency markets | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.intfin.2021.101298 | - |
dc.relation.isPartOf | Journal of International Financial Markets, Institutions and Money | - |
pubs.publication-status | Published online | - |
dc.identifier.eissn | 1873-0612 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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