Cyber-attacks, spillovers and contagion in the cryptocurrency markets
نویسندگان
چکیده
This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin Ethereum) the role played by cyber-attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets number per day of Significant dynamic linkages (interdependence) under investigation found in most cases when cyber-attacks taken into account, Bitcoin appearing be dominant cryptocurrency. Further, Wald tests for parameter shifts during episodes turbulence resulting from provide evidence that latter affect transmission mechanism cryptocurrency returns volatilities (contagion). More precisely, appear strengthen cross-market linkages, thereby reducing portfolio diversification opportunities investors. Finally, conditional correlation analysis confirms previous findings.
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2021
ISSN: ['1042-4431', '1873-0612']
DOI: https://doi.org/10.1016/j.intfin.2021.101298