Caporale, Guglielmo Maria, Kang, Woo-Young ORCID: https://orcid.org/0000-0001-6615-721X, Spagnolo, Fabio and Spagnolo, Nicola (2021) Cyber-attacks, spillovers and contagion in the cryptocurrency markets. Journal of International Financial Markets, Institutions and Money, 74:101298. ISSN 1042-4431 (Print), 1873-0612 (Online) (doi:10.1016/j.intfin.2021.101298)

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Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	crypto currencies, cyber-attacks, mean and volatility spillovers, contagion
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HF Commerce Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Faculty / School / Research Centre / Research Group:	Greenwich Business School Greenwich Business School > School of Accounting, Finance and Economics
Last Modified:	16 Dec 2025 14:54
URI:	https://gala.gre.ac.uk/id/eprint/51991

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