期刊
FINANCE RESEARCH LETTERS
卷 55, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2023.103955
关键词
Bitcoin futures; Hack; Volatility; Price discovery
The increasing hacking incidents of cryptocurrency may have negative impacts on cryptocurrency development and Bitcoin price dynamics. This study investigates the effects of hacking incidents and stolen funds on the return, volatility, and price discovery of Bitcoin spot and futures. The findings indicate that hacking incidents and an increase in stolen funds decrease the returns and increase the volatility of Bitcoin spot and futures simultaneously. Additionally, Bitcoin futures play a dominant role in price discovery, but hacking incidents reduce their relative price discovery. This is the first study to examine the relationship between hacking incidents and the price dynamics of Bitcoin spot and futures.
The increasing hacking incidents of cryptocurrency may adversely affect cryptocurrency devel-opment 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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据