Dr. Klaus Grobys: On the effects of hacking incidents on Bitcoin volatility

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Dr. Klaus Grobys' presentation of his paper entitled "When the blockchain does not block: On hackings and uncertainty in the cryptocurrency market" on September 15, 2020 on 3rd Cryptocurrency Research Conference (ICMAE Centre, University of Reading).

A total of 1.1 million bitcoin were stolen in the 2013–2017 period. Noting that the average price for Bitcoin in 2018 was USD 7,572 the corresponding monetary equivalent of losses is USD 8.9 billion highlighting the societal impact of this criminal activity. Investigating the response of the uncertainty of Bitcoin when hacking incidents occur, the results of this study point toward two different responses. After experiencing a contemporaneous effect at day ???? = 0, the volatility increases significantly again at day ???? + 5. Hacking incidents that occur in the Bitcoin market also affect the uncertainty in the Ethereum market with a time delay of five days. Notably, neither Bitcoin nor Ethereum appear to exhibit asymmetric responses to negative innovations.

The working paper is available here at SSRN:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3555667
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Crypto Trading
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