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Cryptocurrency markets

This research aims to provide comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and trading volume of five of the main cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar) in 99 developed and developing countries. More specifically, it investigates the effects of four different types of cyber-attacks (cyber-crime, cyber-espionage, hacktivism and cyber-warfare) on four target sectors (government, industry, finance and cryptocurrency exchange).

We find that in the US cyber security firms tend to overreact to cyber- attacks affecting cryptocurrencies and more wealth is spent on cyber security compared to other countries. Both hacktivism and cyber-warfare have a significant impact on cryptocurrencies. Cryptocurrency exchanges are more vulnerable to cyber-attacks in non-US countries and in the presence of high economic uncertainty and less so if the industry sector is already being targeted. Finally, cryptocurrency investors exhibit risk-loving behaviour when the hash rate and cryptocurrency returns increase and risk-averse one when cyber-attacks target the financial and industry sectors and economic uncertainty is high.


Meet the Principal Investigator(s) for the project

Professor Guglielmo Maria Caporale - Guglielmo Maria Caporale is Professor of Economics and Finance, Divisional Lead for Economics and Econometrics, and Director of the Centre for Empirical Finance at Brunel University London. He is also a CESifo Research Network Fellow. Prior to taking up his current position, he was a Research Officer at the National Institute of Economic and Social Research in London; a Research Fellow and then a Senior Research Fellow at the Centre for Economic Forecasting at London Business School; Professor of Economics at the University of East London; Professor of Economics and Finance and Director of the Centre for Monetary and Financial Economics at London South Bank University (LSBU). He has also been Visiting Professor at both London Metropolitan University and LSBU, Research Professor at DIW Berlin and a NCID (Navarra Center for International Development) Non-Resident Fellow. He carries out editorial duties for various academic journals (including Journal of International Money and Finance, International Review of Economics and Finance, International Economics, Machine Learning with Applications, Journal of Economics and Finance) and has published extensively in leading academic journals such as Journal of International Money and Finance, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, Institutions & Money, International Journal of Finance and Economics, European Journal of Finance, International Review of Financial Analysis, Economics Letters, Journal of Time Series Analysis, Journal of Financial Econometrics, Oxford Bulletin of Economics and Statistics, Econometric Reviews, Journal of Forecasting, Review of International Economics, Canadian Journal of Economics, Journal of Macroeconomics, Quarterly Review of Economics and Finance, International Review of Economics and Finance and several others. Qualifications: Phd Economics (LSE) MSc Economics (LSE) Laurea (Politics, LUISS, Rome)

Related Research Group(s)

Empirical Finance

Empirical Finance - We use state-of-the-art econometrics to analyse issues with crucial business or policy implications, providing assistance to policy makers and market participants


Partnering with confidence

Organisations interested in our research can partner with us with confidence backed by an external and independent benchmark: The Knowledge Exchange Framework. Read more.


Project last modified 29/06/2021