| Summary: | Bitcoin and cryptocurrencies surged in mainstream attention in recent years. That widespread interest causes crypto-based exchange platforms to be a prime target of hacker attacks where funds are stolen from investors. Following an event study methodology, we aim to establish a relationship between these exchange platform attacks and cryptocurrencies’ returns. We study several event windows across 4 different estimation periods and calculate abnormal returns based on two models (Mean and market Adjusted). We find significant negative mean CAR results for the [-2,3] event window across the 120- and 60-days estimation periods for the full sample. Moreover, we find significant negative impact, for some event windows, for Ethereum and Altcoin based attacks. However, we do not find statistically significant results for the Bitcoin sub-sample under both models. Nevertheless, we show significant results between abnormal returns and cryptocurrencies based on the same algorithm group of the currency stolen in that exchange attack. We reconfirm the significant opposite relationship between Bitcoin and Ethereum, the two biggest currencies in the market, during these shock periods. We also find significative results between payment companies returns and crypto abnormal returns. This thesis is the first to draw conclusions between security breaches, cryptocurrency returns, and traditional assets.
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