Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets

Arbeitspapier

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) among the three cryptocurrencies under investigation are found in most cases when cyber attacks are taken into account, Bitcoin appearing to be the dominant one. 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.

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• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 8324

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Finance: General ; International Financial Markets
• Thema: mean and volatility spillovers ; contagion ; cryptocurrencies ; cyber attacks

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Kang, Woo-Young ; Spagnolo, Fabio ; Spagnolo, Nicola
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and Ifo Institute (CESifo)
• (wo): Munich
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/219142