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The impact of cryptocurrency heists on Bitcoin's market efficiency

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  • Mingnan Li
  • Viktor Manahov
  • John Ashton

Abstract

Within the adaptive market hypothesis (AMH) framework, this study explores the dynamic impact of cryptocurrency heists on Bitcoin's market efficiency. By analysing Bitcoin's one‐minute price data, we calculate permutation entropy to assess market disorder and employ the complexity‐entropy causality plane to quantify structural changes in the market. The analysis focuses on the market efficiency changes the day before, the day of, and the day after a heist, revealing that heists significantly disrupt market efficiency. Specifically, on the day of and following a heist, we observe a marked decrease in permutation entropy alongside a significant increase in complexity, indicating a notable decline in market efficiency. Further analysis shows that when a heist targets a specific token, this token draws investor attention, causing a less severe drop in Bitcoin's market efficiency, while the affected token's market efficiency drops more dramatically. These findings suggest that different token markets react differently to heists, and investors should consider adjusting their strategies to respond to these changes. For policymakers, the results highlight the critical need to enhance market stability and security through informed policy measures to mitigate the impact of such disruptive events.

Suggested Citation

  • Mingnan Li & Viktor Manahov & John Ashton, 2025. "The impact of cryptocurrency heists on Bitcoin's market efficiency," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2912-2929, July.
    • Handle: RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2912-2929
    DOI: 10.1002/ijfe.3049
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