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Hacks and the price synchronicity of bitcoin and ether

Author

Listed:
  • Wang, Jying-Nan
  • Vigne, Samuel A.
  • Liu, Hung-Chun
  • Hsu, Yuan-Teng

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.

Suggested Citation

  • Wang, Jying-Nan & Vigne, Samuel A. & Liu, Hung-Chun & Hsu, Yuan-Teng, 2024. "Hacks and the price synchronicity of bitcoin and ether," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 294-299.
    • Handle: RePEc:eee:quaeco:v:95:y:2024:i:c:p:294-299
    DOI: 10.1016/j.qref.2024.04.008
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    More about this item

    Keywords

    Hack; Price synchronicity; Bitcoin; Ether; Realized correlation;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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