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Financial market reaction to cyberattacks

Author

Listed:
  • Niaz Kammoun

    (RITM - Réseaux Innovation Territoires et Mondialisation - UP11 - Université Paris-Sud - Paris 11, CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

  • Ahmed Bounfour

    (RITM - Réseaux Innovation Territoires et Mondialisation - Université Paris-Saclay)

  • Altay Özaygen

    (RITM - Réseaux Innovation Territoires et Mondialisation - UP11 - Université Paris-Sud - Paris 11, LITEM - Laboratoire en Innovation, Technologies, Economie et Management (EA 7363) - UEVE - Université d'Évry-Val-d'Essonne - IMT-BS - Institut Mines-Télécom Business School - IMT - Institut Mines-Télécom [Paris])

  • Rokhaya Dieye

    (RITM - Réseaux Innovation Territoires et Mondialisation - UP11 - Université Paris-Sud - Paris 11)

Abstract

Drawing upon an extensive dataset comprising 3,680 cyberattacks on firms listed in 5 stock markets, our main objective is to ascertain the financial market reaction based on a hybrid valuation inspired by the event study methodology and a counterfactual analysis. Analyses concern three dates that are specific to cyberattacks: 1) the accident date; 2) the first notice date; and 3) the original loss start date. Results indicate that there is a negative abnormal return for the NASDAQ after the accident date. The reactions of the NASDAQ and NYSE are similar, and negative for the first notice date but positive after the original loss start date. In the European context, cumulative abnormal returns are negative for French and German companies after the first notice date.

Suggested Citation

  • Niaz Kammoun & Ahmed Bounfour & Altay Özaygen & Rokhaya Dieye, 2019. "Financial market reaction to cyberattacks," Post-Print hal-03825278, HAL.
    • Handle: RePEc:hal:journl:hal-03825278
    DOI: 10.1080/23322039.2019.1645584
    as

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