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The destabilising effects of cryptocurrency cybercriminality

Corbet, Shaen orcid logoORCID: 0000-0001-7430-7417, Cumming, Douglas J., Lucey, Brian orcid logoORCID: 0000-0002-4052-8235, Peat, Maurice and Vigne, Samuel A. orcid logoORCID: 0000-0003-1831-617X (2019) The destabilising effects of cryptocurrency cybercriminality. Economics Letters, 191 . ISSN 0165-1765

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.
Item Type:Article (Published)
Additional Information:Article number: 108741
Uncontrolled Keywords:Price Volatility; Cryptocurrency; Hacking; Cybercrime; Bitcoin; GARCH
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Official URL:https://dx.doi.org/10.1016/j.econlet.2019.108741
Copyright Information:© 2019 Elsevier (CC-BY-ND)
Use License:This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License
ID Code:25982
Deposited On:09 Jun 2021 13:03 by Thomas Murtagh . Last Modified 21 Feb 2022 17:22

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