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Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures

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  • Chen, Yu-Lun
  • Chang, Yung Ting
  • Yang, J. Jimmy

Abstract

The increasing hacking incidents of cryptocurrency may adversely affect cryptocurrency development and influence the Bitcoin price dynamics. We investigate the effect of hacking incidents and the hack-stolen funds on the return, volatility, and price discovery of Bitcoin spot and futures. We find that the presence of hacking incidents and an increase in stolen funds decrease Bitcoin spot and futures returns and increase their volatility contemporaneously. We also find that Bitcoin futures dominate in price discovery, but hacking incidents reduce the relative price discovery of Bitcoin futures. This is the first study to document the relation between hacking incidents and the price dynamics of Bitcoin spot and futures.

Suggested Citation

  • Chen, Yu-Lun & Chang, Yung Ting & Yang, J. Jimmy, 2023. "Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276
    DOI: 10.1016/j.frl.2023.103955
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    References listed on IDEAS

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    Cited by:

    1. Ravi Kashyap, 2023. "DeFi Security: Turning The Weakest Link Into The Strongest Attraction," Papers 2312.00033, arXiv.org.
    2. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.

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    More about this item

    Keywords

    Bitcoin futures; Hack; Volatility; Price discovery;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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