Title INVESTIGATING impact of cybercriminality on price volatility in cryptocurrency markets investigating impact of cybercriminality on price volatility in cryptocurrency markets /
Translation of Title Kibernetinių nusikaltimų įtakos kainų svyravimui kriptovaliutų rinkose tyrimas.
Authors Sauliūnaitė, Ugnė
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Pages 63
Keywords [eng] kibernetiniai nusikaltimai, kriptovaliuta, svyravimas, volatilumas, kibernetinės atakos, cryptocurrency, volatility, cybercriminality, bitcoin, cyberattacks
Abstract [eng] This academic work aimed to investigate how cyberattacks affect the volatility of price in the markets of cryptocurrencies. Objectives include reviewing the literature and discussing concepts of cybercrime and cryptocurrency markets, building a methodology and conducting analysis to investigate into dynamics and the response of the price of cryptocurrencies to the cyberattacks. The Master Thesis consists of three main parts: analysis of scientific literature, research methods and review of research results. The literature analysis was conducted to review the main concepts of cybercriminality and its relationship with cryptocurrencies, discuss price volatility in cryptocurrency markets and explore GARCH models used by other authors. In the methodology part, thirteen chosen variables and seventeen hacking events are presented to analyse impact of cyberattacks on price volatility in cryptocurrency markets through 2017-2022. The methodology part describes and presents chosen GARCH model. A review and analysis of the research results section indicates a general overview of selected eight cryptocurrencies and five traditional financial markets with descriptive tables and figures. The empirical analysis also specifies the daily cryptocurrency return time series plots, which support the ARCH effect and suggest volatility clustering. It enables the author use model and successfully interpret results. The main results of research and analysis, suggest several key conclusions regarding price volatility in cryptocurrency markets and impact of cyberattacks. Using multivariate-GARCH and DCC-GARCH techniques there is evidence of quick volatility reactions in the cryptocurrency markets during cybercrime incidents. These responses appear to be rationally targeted at the cryptocurrencies directly implicated as well as the larger cryptocurrency industry if the cybercrime event is systemically destructive. Furthermore, there are favorable results demonstrating that cryptocurrency volatility is affected by the seriousness of a cybercrime. It is also tested whether conditional linkages between cryptocurrency markets change significantly as a result of cybercrime incidents. Finally, results are summarised and recommendations presented.
Dissertation Institution Vilniaus universitetas.
Type Master thesis
Language English
Publication date 2023