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Stock Market Response to Information Security Breach: A Study Using Firm and Attack Characteristics

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  • Saini Das
  • Arunabha Mukhopadhyay
  • Manoj Anand

Abstract

The recent global surge in information security breaches emphasizes the importance of their impact determination for proper risk assessment. In this paper we used event study to compute the cumulative abnormal response (CAR) of the stock market to publicly announced breaches on a sample of Indian and US firms. We also used linear regression and moderation analysis to identify the factors that affect CAR individually and in combination with each other. From regression analysis, firm type, firm size and Damage Potency of the attack emerged as factors that individually impacted CAR. Further, moderation analysis revealed that Denial of Service attacks on e-commerce companies and information theft attacks on BFSI companies generated significantly negative CAR. We also observed that if a subsidiary company is breached, then the parent's stock market performance is not significantly negatively impacted. However, if a vendor suffers a breach, then the client is significantly negatively affected in the stock market.

Suggested Citation

  • Saini Das & Arunabha Mukhopadhyay & Manoj Anand, 2012. "Stock Market Response to Information Security Breach: A Study Using Firm and Attack Characteristics," Journal of Information Privacy and Security, Taylor & Francis Journals, vol. 8(4), pages 27-55, October.
    • Handle: RePEc:taf:uipsxx:v:8:y:2012:i:4:p:27-55
    DOI: 10.1080/15536548.2012.10845665
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    Citations

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    Cited by:

    1. Michael McShane & Trung Nguyen, 0. "Time-varying effects of cyberattacks on firm value," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 0, pages 1-36.
    2. Sepideh Ebrahimi & Kamran Eshghi, 2022. "A meta-analysis of the factors influencing the impact of security breach announcements on stock returns of firms," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(4), pages 2357-2380, December.
    3. Michael McShane & Trung Nguyen, 2020. "Time-varying effects of cyberattacks on firm value," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(4), pages 580-615, October.
    4. Arunabha Mukhopadhyay & Samir Chatterjee & Kallol K. Bagchi & Peteer J. Kirs & Girja K. Shukla, 2019. "Cyber Risk Assessment and Mitigation (CRAM) Framework Using Logit and Probit Models for Cyber Insurance," Information Systems Frontiers, Springer, vol. 21(5), pages 997-1018, October.
    5. Syed Emad Azhar Ali & Fong-Woon Lai & Rohail Hassan & Muhammad Kashif Shad, 2021. "The Long-Run Impact of Information Security Breach Announcements on Investors’ Confidence: The Context of Efficient Market Hypothesis," Sustainability, MDPI, vol. 13(3), pages 1-27, January.
    6. Martin Eling & Michael McShane & Trung Nguyen, 2021. "Cyber risk management: History and future research directions," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(1), pages 93-125, March.
    7. Mohammad Ashraful Ferdous Chowdhury & Mohammad Abdullah & Nurun Nowshin Chowdhury Nazia & Debarshi Roy, 2023. "The nonlinear and threshold effects of IT investment on the banking sector of Bangladesh," Economic Change and Restructuring, Springer, vol. 56(6), pages 4253-4283, December.
    8. Md. Hamid Uddin & Md. Hakim Ali & Mohammad Kabir Hassan, 2020. "Cybersecurity hazards and financial system vulnerability: a synthesis of literature," Risk Management, Palgrave Macmillan, vol. 22(4), pages 239-309, December.
    9. Masoud, Najeb & Al-Utaibi, Ghassan, 2022. "The determinants of cybersecurity risk disclosure in firms’ financial reporting: Empirical evidence," Research in Economics, Elsevier, vol. 76(2), pages 131-140.
    10. Anum Khan & Muhammad Shujaat Mubarik & Navaz Naghavi, 2023. "What matters for financial inclusions? Evidence from emerging economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 821-838, January.

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