Abstract
We use intraday trading data from the Kraken exchange to calculate the daily price synchronicity of Bitcoin and Ether from February 2018 to December 2022. We then use a comprehensive report provided by christalblockchain.com to investigate the impact of hacks on price synchronicity between the top two cryptocurrencies. Our results show that price synchronicity, as measured by the realized correlation, is consistently positive throughout the sample period, with only one (negative) exception. We further uncover a positive relationship between hacking events and the future price synchronicity of Bitcoin and Ether. This result is robust to an alternative price synchronicity measure.
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