Title: Cyberattacks and cross-market bitcoin prices: Network analysis
Authors: Mauro Costantini - University of L'aquila (Italy)
Ahmad Maaitah - University of Southampton (United Kingdom) [presenting]
Tapas Mishra - Department of Banking and Finance (United Kingdom)
Abstract: The volatilities across Bitcoin markets interconnected, especially during episodes of cyberattacks are investigated. A significant premise concerns major cyberattacks, when the highly interconnected volatile Bitcoin system is exposed to systemic risk and unfounded market exploitations, leading further to a depth in volatility across this market as well as other interdependent markets. Dynamic conditional volatility measures across six major Bitcoin markets are estimated. Network analysis is performed to characterise the strength and direction of interconnectedness. We find evidence of a significant movement of volatilities across the markets over time. Such volatilities appear to depict a trend and high interconnectedness when the number and magnitude of cyberattacks rise. This implies a major inefficiency of the Bitcoin market system that can be exploited to gain a major advantage of arbitrage.