Measuring the Impact of Digital Exchange Cyberattacks on Bitcoin Returns

We investigate the impact on Bitcoin returns arising from cyberattacks on digital exchanges. Using several alternative specifications we test the hypothesis that Bitcoin experiences lower returns on the dates associated with cybersecurity breaches of cryptocurrency markets. We find a negative effect where Bitcoin price declines between 1.288% and 1.470% on cyberattack days, depending on model specification. Our results provide evidence of cybersecurity related price risk that may not be widely recognised by cryptocurrency market participants