Measuring the impact of digital exchange cyberattacks on Bitcoin Returns

George Milunovich; Seung Ah Lee

doi:10.1016/j.econlet.2022.110893

Measuring the impact of digital exchange cyberattacks on Bitcoin Returns

George Milunovich, Seung Ah Lee

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

We investigate the impact on Bitcoin returns arising from cyberattacks on digital exchanges over the 2012 – 2021 period. In particular, we test the hypothesis that Bitcoin experiences lower returns on the dates associated with cybersecurity breaches of cryptocurrency exchanges. We find a negative and statistically significant impact where Bitcoin price declines by about 1.513 percent on the cyberattack days. However, a subsample analysis suggests that while the estimated effect is somewhat larger over the 2012 – 2018 period, it has lessened and become statistically insignificant in the more recent 2019 – 2021 subsample.

Original language	English
Article number	110893
Pages (from-to)	1-4
Number of pages	4
Journal	Economics letters
Volume	221
Early online date	20 Oct 2022
DOIs	https://doi.org/10.1016/j.econlet.2022.110893
Publication status	Published - Dec 2022

Keywords

Bitcoin
Cryptocurrency exchange breach
Cyberattack
GARCH

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10.1016/j.econlet.2022.110893

Cite this

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Measuring the impact of digital exchange cyberattacks on Bitcoin Returns

Abstract

Keywords

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