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.
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