TY - JOUR
T1 - Cyber-attacks, spillovers and contagion in the cryptocurrency markets
AU - Caporale, Guglielmo Maria
AU - Kang, Woo Young
AU - Spagnolo, Fabio
AU - Spagnolo, Nicola
N1 - Publisher Copyright:
© 2021 The Author(s)
PY - 2021/9
Y1 - 2021/9
N2 - 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.
AB - 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.
KW - Contagion
KW - Crypto currencies
KW - Cyber-attacks
KW - Mean and volatility spillovers
UR - http://www.scopus.com/inward/record.url?scp=85100405154&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2021.101298
DO - 10.1016/j.intfin.2021.101298
M3 - Article
SN - 1042-4431
VL - 74
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
M1 - 101298
ER -