Abstract
We investigate the impact on Bitcoin returns arising from cyberattacks on digital exchanges over the 2012–2021 period. In particular, we test the hypothesis that Bitcoin experiences lower returns on the dates associated with cybersecurity breaches of cryptocurrency exchanges. We find a negative and statistically significant impact where Bitcoin price declines by about 1.513 percent on the cyberattack days. However, a subsample analysis suggests that while the estimated effect is somewhat larger over the 2012–2018 period, it has lessened and become statistically insignificant in the more recent 2019–2021 subsample.
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