The impact of cyber-attacks on cryptocurrency price, return and liquidity: evidence from quantile-

on-quantile regression

Muhammad Umar
School of Economics and Management
East China Jiaotong University
Nanchang, Jiangxi, China
umare_umare@yahoo.com

Electronic copy available at: https://ssrn.com/abstract=3945849

The impact of cyber-attacks on cryptocurrency price, return and liquidity: evidence from quantile-
on-quantile regression

Abstract

Cryptocurrency has recorded tremendous growth in their value in the recent years which has attracted the
attention of investors, academicians and especially hackers. As cryptocurrencies exist in cyber space so
hackers keep targeting them to rob crypto investors. So, this study explores, how crypto-attacks affect
cryptocurrency price, return and liquidity. The data regarding all these variables ranges from June 1, 2020
to August 3, 2021. The results of multiple linear regression with categorical independent variable and
quantile-on-quantile regression show that cryptocurrency price is not affected by cyber-attacks. However,
cyber-attacks on crypto exchanges result in loss for investors but cyber-attacks on other assets enhances
cryptocurrency value. Furthermore, cyber-attacks on cryptocurrencies don’t affect their liquidity but the
overall cyber-attacks enhance cryptocurrency liquidity. The findings of this study has implications for
crypto investors, researchers and policy makers.

Key words: Cyber-attacks, Hacking, Cryptocurrency, Crypto price, Crypto return, Crypto liquidity

JEL classification: G10, K24

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1. Introduction

Cryptocurrencies have recorded tremendous growth in their value and popularity. This has attracted the
attention of investors, academicians and most importantly hackers. Many people are investing in these new
financial assets not to find an alternative transaction system but to have experience of this new vehicle
(Glaser et al. (2014). So, many cryptocurrency investors may not have appropriate financial literacy to
invest in these complex, risky and volatile assets (Panos, Karkkainen, & Atkinson, 2020), which makes
them prone to cyber-attacks. In phishing attacks, hackers look like trust worthy source to steal credentials
of crypto investors (Corbet et al. 2020). According to (Fang et al. 2021), increase in cryptocurrency prices
is associated with higher number of cyber-attacks on cryptocurrencies. Hackers have attacked many crypto
exchanges in the recent past and cyber-attacks have now become a systematic risk (Hilemann & Rauchs,
2017). As per one of the studies, cyber-attacks on cryptocurrencies have resulted into loss of $445 billion
for global markets (Benjamin, Valacich, & Chen, 2019). According to another study, 10 confirmed cyber-
attack on cryptocurrency markets resulted in loss of 244 million euros in 2019 (Fang et al., 2021). Gandal
et al. (2018) found that hackers start attacking cryptocurrency exchanges by small attacks followed by full
fledge attacks to rob people of their money.

Another strand of literature blame the inception of cryptocurrencies for ransomware attacks. Kara & Aydos
(2020) says that ransomware infiltrates enter the victim’s system with smartly-designed methods and hack
their files. After taking control of victim’s machine, hackers demand ransom in virtual currencies. Kansagra
et al. (2016) conclude that hackers use cryptography against itself where hackers extort money from the
victims by encrypting their information. Kshetri & Voas (2017) blame cryptocurrencies for increase in
ransomware attacks. According to this study, ransomware are less desirable in the absence of
cryptocurrencies as all the other mechanisms of payments are more traceable. To overcome this issue of
ransomware attacks, Kok et al. (2020) proposed a model to pre-detect crypto ransomware attacks using pre-
encryption detection algorithm.

The above discussion suggests that there exist a relationship between cyber-attacks and cryptocurrencies.
Increase in cryptocurrency importance has resulted in inflated number of ransomware attacks and attacks
on cryptocurrency exchanges. The news of cyber-attack on cryptocurrency have consequences for
cryptocurrency price, return and liquidity. Fang et al. (2021) has observed flight to safety from
cryptocurrencies to stock markets as a result of cyber-attacks on cryptocurrency exchanges. These attacks
on cryptocurrency exchanges results in jumps and breaks in cryptocurrencies (Gandal et al., 2018) which
already have higher volatility and structural breaks (Hardeveld, Webber, & O’Hara, 2017). An existing
study by (Caporale et al. (2021) have found that cyber-attacks affect dynamic linkages between
cryptocurrencies which reduces diversification opportunities for crypto investors. We can deduct from the

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above mentioned studies that knowing more about the impact of cyber-attacks on cryptocurrencies is the
need of the hour. Therefore, this study analyzes the impact of cyber-attacks on cryptocurrency price, return
and liquidity.

This study is similar to that of Fang et al. (2021) as it explores the impact of cyber-attacks on cryptocurrency
price. However, it differs from the above said and many existing studies in number of ways. First, this study
not only analyzes the impact of cryptocurrency related cyber-attacks on crypto price rather it explores the
impact of cyber-attacks unrelated to cryptocurrency on cryptocurrency market value. Second, it investigates
the impact of crypto related and overall cyber-attacks on cryptocurrency return. Third, it examine the impact
of cyber-attacks on cryptocurrency liquidity. Fourth, it uses the latest data regarding cyber-attacks and
cryptocurrency price, return and liquidity. Fifth, it uses multiple linear regression with categorical
independent variable and quantile-on-quantile regression for the analysis. In short, it is a comprehensive
study to investigate the impact of cyber-attacks on different dimensions of cryptocurrency.

The findings reveal that cyber-attacks on cryptocurrency does not result in higher prices for
cryptocurrencies, as put forth by Fang et al. (2021). The cyber-attacks on cryptocurrencies result into losses
for the cryptocurrency investors but the cyber-attacks other than the ones related to cryptocurrency bring
good news for crypto investors as they result in higher return for crypto investors. The results reveal that
cryptocurrency related cyber-attacks don’t affect their liquidity but overall cyber-attacks enhance their
liquidity.

The rest of the paper is organized as follow. Section 2 describes data and methodology. Section 3 present
results and their discussion and section 4 concludes.

2. Data and Methodology

The data regarding this study has been obtained from multiple sources. Cryptocurrency related daily data
was obtained from Binance exchange accessed through https://www.cryptodatadownload.com/. This source
provides trading price series for 23 stable cryptocurrencies and according to (Alexander & Dakos, 2020) it
is a reliable source of cryptocurrency price data. The sample period for cryptocurrency data ranges from
June 1, 2020 to August 3, 2021. The sample period has been selected on the basis of availability of
cybercrimes data which has been obtained from https://www.hackmageddon.com/ (Lyócsa, Molnár, Plíhal,
& Širaňová, 2020). This website provides the data for cyber and cyber-attacks on cryptocurrency. The data
regarding cybercrimes is regularly updated from the news available publically and from blogs. We
downloaded these files and merged the data very carefully to use in the analysis. We have used the report
date to study the impact of cyber-crime on cryptocurrency return and liquidity because markets react to the
news and not the actual date of attack (Capelle-Blancard & Petit, 2017; Li, 2018; Zhang, Song, Shen, &

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Zhang, 2016). The data regarding control variables was obtained from https://www.investing.com/ a very
famous and reliable open access source of data.

This study has used the closing prices of the cryptocurrencies and the close time is based on UTC time zone.
The return has been calculated by dividing change in price over a day to the previous day’s price. The
illiquidity was measured by using (Amihud, 2002). It was measured by dividing absoluter return to trading
volume in US dollars. In order to get better understanding, we multiplied the illiquidity value by one billion.
𝑇
1 |𝑟𝑡 |
𝐼𝑙𝑙𝐼𝑄 = ∑
𝑁 $𝑉𝑡
𝑡=1

In order to determine the impact of cyber-attacks on cryptocurrency price, return and liquidity this study
has used multiple linear regression with categorical independent variable for the overall sample. To get in-
depth understanding of the relationship between above mentioned variables, quantile regression based on
cryptocurrency price, return and liquidity has been used (Atella, Pace, & Vuri, 2008; Chay, Park, Kim, &
Suh, 2015; Melly, 2005; Poterba & Rueben, 1994). As overall cyber-attacks may include attacks other than
attacks on cryptocurrencies, so this study has specifically used the incidence of cyber-attack on
cryptocurrency only to get their impact on cryptocurrency price, return and liquidity. Mathematical
expression for our regression model is given below.

𝐿𝑁_𝐶𝑃𝑖,𝑡 = 𝛼0 + 𝛽1 𝐶𝑅𝑌𝑃_𝐴𝑇𝑇𝐾𝑖 + 𝛽𝑖 ∑ 𝑋𝑖,𝑡 + 𝜀𝑖,𝑡

𝑖=1 (1)

𝐿𝑁_𝐶𝑃𝑖,𝑡 = 𝛼0 + 𝛽1 𝐶𝑌𝐵𝑅_𝐴𝑇𝑇𝐾𝑖 + 𝛽𝑖 ∑ 𝑋𝑖,𝑡 + 𝜀𝑖,𝑡

𝑖=1 (2)

𝐶𝑅𝑌𝑃_𝑅𝐸𝑇𝑖,𝑡 = 𝛼0 + 𝛽1 𝐶𝑅𝑌𝑃_𝐴𝑇𝑇𝐾𝑖 + 𝛽𝑖 ∑ 𝑋𝑖,𝑡 + 𝜀𝑖,𝑡

𝑖=1 (3)

𝐶𝑅𝑌𝑃_𝑅𝐸𝑇𝑖,𝑡 = 𝛼0 + 𝛽1 𝐶𝑌𝐵𝑅_𝐴𝑇𝑇𝐾𝑖 + 𝛽𝑖 ∑ 𝑋𝑖,𝑡 + 𝜀𝑖,𝑡

𝑖=1 (4)

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 𝑁

𝐶𝑅𝑌𝑃_𝐼𝐿𝐿𝐼𝑄𝑖,𝑡 = 𝛼0 + 𝛽1 𝐶𝑅𝑌𝑃_𝐴𝑇𝑇𝐾𝑖 + 𝛽𝑖 ∑ 𝑋𝑖,𝑡 + 𝜀𝑖,𝑡

𝑖=1 (5)

𝐶𝑅𝑌𝑃_𝐼𝐿𝐿𝐼𝑄𝑖,𝑡 = 𝛼0 + 𝛽1 𝐶𝑌𝐵𝑅_𝐴𝑇𝑇𝐾𝑖 + 𝛽𝑖 ∑ 𝑋𝑖,𝑡 + 𝜀𝑖,𝑡

𝑖=1 (6)

Equation 1 has the natural log of closing price of cryptocurrency as dependent variable where subscripts i,
and t represent daily closing price of different cryptocurrencies. 𝛼0 is the constant and CRYP_ATTK
represents cyber-attack on cryptocurrency on a specific day. 𝛽1 is the coefficient of our main independent
variable i.e. cyber-attack on cryptocurrency. 𝛽𝑖 is the coefficient of ith control variable and 𝜀𝑖,𝑡 is the error
term. Equation (2) is exactly like equal (1) but the only difference is that in this equation overall cyber-
attacks (CYBR_ATTK) has replaced crypto-attack as main independent variable. Equation (3) and (4) has
cryptocurrency return as a dependent variable (CRYP_RET) and cryptocurrency cyber-attack as
independent variable. The description of remaining variables in the equation is same like previous equations.
Equation (4) is exactly like Equation (3) with the only difference of overall cyber-attacks as independent
variable. Equation (5) and (6) has cryptocurrency illiquidity as dependent variable. The only difference in
the two equation is that equation (5) has cryptocurrency related cyber-attacks as main independent variable
and equation (6) has overall cyber-attacks as main independent variable, instead. The rest of the variables
are exactly like previous equations.

3. Findings

Table 1 presents the descriptive statistics for all the variables used in this study. The average closing price
of selected cryptocurrencies over the sample period is 1,319.41 with a very high standard deviation of
6825.276. The minimum recorded value by Bittorrent is $0.0003 and Bitcoin recorded the highest value of
$63,575 over the sample period. 25% of the values of cryptocurrency closing price are below $0.291 and
25% of them are higher than $65.96. The mean return of selected cryptocurrencies over the sample period
is 0.1% with a standard deviation of 0.067. Zcash recorded the highest loss of 74.3% over the sample period
and contrary to it Bittorrent recorded the highest gain of 54.3% over the sample period. The average value
for cryptocurrency illiquidity is 3.792 with a very high standard deviation of 18.14 which implies that the
liquidity of cryptocurrencies varies a lot.

<Insert Table 1 here>

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The average value of cryptocurrency related cyber-attacks is 0.229 per day with a standard deviation of
0.515. The highest recorded number of cryptocurrency related cyber-attacks over the sample period is three
in a single day. The average of overall cyber-attacks in a day is 6.194 which is very high compared to
cryptocurrency related cyber-attacks. The average value of CBOE volatility index is 23.33 with a low
standard deviation of 5.127. The minimum recorded value for this variable is 15.07 with maximum value
to be 40.79. The average value for crude oil WTI futures is 52.55 with a standard deviation of 12.44. Gold
futures has recorded the average value of $1,854.797 over the sample period. The standard deviation of
GOLD_FUT is 82.567 and high variation in values of this variable is evident from lowest value of $1,682.9
and highest value of 2,103.2. The average value of world MSCI index is 2,645.756 with a standard deviation
of 276.054. The minimum and maximum recorded values of this variable are 2154.440 and 3092.510
respectively.

Table 2 presents the pairwise correlation coefficients. Cryptocurrency return does not have any straight line
relationship with price which implies that price and return do not move in tandem with each other.
Cryptocurrency illiquidity (liquidity) have inverse (direct) relationship with price of the currencies. An
increase in prices is associated with higher cryptocurrency liquidity. Both cryptocurrency related cyber-
attacks and overall cyber-attacks don’t have any straight line relationship with change in price of
cryptocurrency. All the control variables have significant relationship with price however volatility index
and gold futures have inverse relationship with price and crude oil and MSCI index have direct relationship
with price. The significance level of control variables show that our choice of control variables is
appropriate. Furthermore, cryptocurrency attacks have inverse relationship with return i.e. the price of
cryptocurrency decrease in the aftermaths of crypto attacks. Overall cyber-attacks don’t seem to have any
relationship with price, return or liquidity.

<Insert Table 2 here>

Table 3 presents the results for the impact of cryptocurrency related attacks on crypto prices. As per results,
variation in cryptocurrency prices does not depend of cryptocurrency related cyber-attacks. The results hold
for the overall sample and for all quantile. This finding of no significant relationship between
cryptocurrency related cyber-attacks and variation in their prices is against the finding of existing study
(Brown & Douglass, 2020) which found that increase in cryptocurrency prices is associated with
cryptocurrency related cyber-attacks. We may say that increase in cryptocurrency prices entice more and
more hackers to attack but the results that cryptocurrency related cyber-attacks results in higher prices is
strange.

<Insert Table 3 here>

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Table 4 show the results for the impact of crypto related cyber-attacks on cryptocurrency returns. The results
for the overall sample and lower Quantiles show that cryptocurrency related cyber-attacks result in losses
for the investors. However, the results for upper Quantiles show that the returns for these Quantiles do not
depend on crypto related cyber-attacks. All the control variables except MSCI world index have strong
negative relationship with cryptocurrency returns for overall sample and for 5th and 25th quantile. The results
show that increase in CBOE volatility index results in losses for cryptocurrency investors and the results
hold for the models except 95th quantile. Similarly, increase in crude oil WTI futures values is associated
with losses for crypto investors. In the same way, increase in the value for gold futures results in negative
return for cryptocurrencies. The above interpretations are true for the overall sample and lower Quantiles.
Furthermore, increase in world MSCI index values are associated with cryptocurrency losses for first two
Quantiles but for 75th and 90th Quantiles, increase in MSCI world index results in gains for crypto investors.

<Insert Table 4 here>

Table 5 provides the results for the impact of cryptocurrency related cyber-attacks on cryptocurrency
liquidity. The results for all the models show that cryptocurrency liquidity is not affected by crypto related
cyber-attacks as cryptocurrency related cyber-attacks don’t explain variation in cryptocurrency illiquidity.
As per the results for overall sample, increase in CBOE volatility and MSCI world index values is associated
with lower cryptocurrency liquidity. However, an increase in crude oil WTI futures has direct relationship
with cryptocurrency liquidity. Increase in MSCI world index values has strong positive relationship with
cryptocurrency liquidity and the finding holds for all Quantiles except 95th. It implies that positive investor
sentiment in stock markets is also associated with higher liquidity in cryptocurrency market.

<Insert Table 5 here>

In order to know whether overall cyber-attacks, which are much more in number compared to
cryptocurrency related cyber-attacks, affect cryptocurrency price, return and liquidity or not, we have done
the analysis to know the impact of overall cyber-attacks on cryptocurrency price, return and liquidity.
Results in Table 6 show the impact of overall cyber-attacks on cryptocurrency price. Like the results
presented in Table 3, overall cyber-attacks also don’t explain variation in cryptocurrency prices. The results
of no relationship between cyber-attacks and cryptocurrency price hold for the overall sample as well as all
the Quantiles except 75th. None of the control variable have relationship with cryptocurrency price except
crude oil WTI futures which have positive relationship with cryptocurrency price or overall sample and 25th
percentile.

<Insert Table 6 here>

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Table 7 presents the results for the impact of overall cyber-attacks on cryptocurrency return. Interestingly,
cyber-attacks have positive association with crypto returns which implies that increase in cyber-attacks is
associated with higher crypto returns. We have observed that crypto related cyber-attacks have inverse
relationship with crypto return and at the same time overall cyber-attacks have positive association with
crypto returns, it implies that the attacks on financial institutions other than crypto have positive impact on
price and return of cryptos. Increase in CBOE volatility are associated with crypto losses. Similarly, crude
oil WTI futures also have inverse relationship with crypto return. Gold futures also have inverse relationship
with crypto return. The results hold for almost all the Quantiles along with overall sample.

<Insert Table 7>

Table 8 presents the results for the impact of cyber-attacks on cryptocurrency liquidity. As per the results,
there exist a direct relationship between cyber-attacks and cryptocurrency liquidity. An increase in number
of daily cyber-attacks is associated with higher cryptocurrency liquidity and vice versa. This finding may
be due to the fact that cyber-attacks on institutions other than stock markets give positive feeling to the
crypto investors who increase their trade and as a result of which cryptocurrency liquidity increases. As per
the results of overall sample, crude oil WTI futures have direct relationship with cryptocurrency liquidity
and CBOE volatility and MSCI world index have inverse relationship with crypto liquidity. The results of
quantile regression shows that an increase in MSCI world index is associated with higher cryptocurrency
liquidity. Increase in the value for gold futures has inverse relationship with cryptocurrency liquidity for
higher Quantiles.

<Insert Table 8 here>

We can sum up the discussion by stating that there exist no relationship between cryptocurrency price and
cyber-attacks, both overall as well as crypto specific. Furthermore, cryptocurrency related cyber-attacks
adversely affect returns but overall cyber-attacks seem to have positive impact on crypto returns. Finally,
crypto related cyber-attacks don’t affect cryptocurrency liquidity and the cyber-attacks on assets other than
crypto enhances the liquidity of cryptocurrency exactly like they improve return on cryptos.

4. Conclusion

This study finds that there exist no relationship between cryptocurrency related cyber-attacks and change
in crypto prices. This findings is against the finding of Fang et al. (2021) which found positive association
between cyber-attacks and cryptocurrency price. The difference in findings may be attributed to the
difference in time span of data. Moreover, cryptocurrency related cyber-attacks result in losses for the
investors but overall cyber-attacks are a good news for crypto investors as they have positive impact on
crypto return. Furthermore, cryptocurrency liquidity is not affected by cryptocurrency related cyber-attacks

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but overall cyber-attacks positively affect cryptocurrency liquidity. Increase in cryptocurrency return and
liquidity as a result of overall attacks may be attributed to the fact that when the crypto investors see that
other alternative assets are also being targeted by crypto attacks, they feel better and make more transactions
resulting in higher return and liquidity. The findings of this study has implications for cryptocurrency
investors and policy makers. As far as the future research is concerned, studying the Impact of cyber-attacks
on crypto currency volatility could be a promising area.

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Table 1
Descriptive Statistics
Mean Median Std. Minimum Maximum P25 P75 N
CRYP_CLOS
E 1319.41 2.545 6825.276 .0003 63575 .291 65.96 9847
CRYP_RET 0.001 0.000 0.067 -0.743 0.534 -0.022 0.027 9824
CRYP_ILLIQ 3.792 0.403 18.141 0.000 410.310 0.061 1.844 9824
CRYP_ATTK 0.229 0.000 0.515 0.000 3.000 0.000 0.000 9847
CYBR_ATTK 6.194 6.000 4.461 0.000 24.000 2.000 9.000 9847
CBOE_VIX 23.331 22.650 5.127 15.070 40.790 19.360 26.380 6913
COWTI 52.549 49.100 12.439 35.440 76.250 40.830 63.820 7097
GOLD_FUT 1854.797 1852.000 82.567 1682.900 2103.200 1786.500 1909.900 7120
MSCI_WRLD 2645.756 2682.180 276.054 2154.440 3092.510 2390.080 2913.530 7051
Note: Table 1 provides the descriptive statistics for all the variables used in this study. The abbreviations are as
follow: Cryptocurrency closing price (CRYP_CLOSE); Cryptocurrency return (CRYP_RET); Cryptocurrency
illiquidity (CRYP_ILLIQ); Cryptocurrency related cyber-attacks (CRYP_ATTK); Overall cyber-attacks
including attacks on cryptocurrencies (CYBR_ATTK); Chicago Board of Exchange volatility index
(CBOE_VIX); Crude Oil WTO Futures (COWTI); Gold futures (GOLD_FUT) and MSCI world index
(MSCI_WRLD)

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Table 2
Correlation coefficient
LN_CP CRYP_RET CRYP_ILLIQ CRYP_ATTK CYBR_ATTK LN_CBOE_VIX LN_COWTI LN_GF LN_MSCI
LN_CP 1
CRYP_RET 0.004 1
(0.676)
CRYP_ILLIQ -0.248*** -0.012 1
(0.000) (0.251)
CRYP_ATTK 0.016 -0.043*** -0.015 1
(0.114) (0.000) (0.147)
CYBR_ATTK 0.012 0.012 -0.004 0.350*** 1
(0.226) (0.225) (0.663) (0.000)
LN_CBOE_VIX -0.130*** -0.052*** 0.117*** -0.006 0.041*** 1
(0.000) (0.000) (0.000) (0.638) (0.001)
LN_COWTI 0.154*** -0.010 -0.128*** 0.059*** -0.036*** -0.803*** 1
(0.000) (0.421) (0.000) (0.000) (0.003) (0.000)
LN_GF -0.083*** -0.025** 0.071*** -0.104*** 0.013 0.286*** -0.517*** 1
(0.000) (0.035) (0.000) (0.000) (0.267) (0.000) (0.000)
LN_MSCI 0.150*** 0.001 -0.112*** 0.042*** 0.004 -0.833*** 0.954*** -0.414*** 1
(0.000) (0.956) (0.000) (0.000) (0.758) (0.000) (0.000) (0.000)
Note: Table 2 provides the pairwise correlation coefficients for all the variables used in this study. p values are given in parentheses and *** depicts statistical
significance at 1% level of significance. LN in the variable name abbreviations means natural log.

Electronic copy available at: https://ssrn.com/abstract=3945849

Table 3
The impact of crypto attacks on crypto closing price
LN_CP
Overall 0.05 PCT 0.25 PCT 0.5 PCT 0.75 PCT 0.95 PCT
CRYP_ATTK 0.0608 0.0341 0.0335 0.0386 0.1112 0.0117
(0.457) (0.922) (0.665) (0.807) (0.291) (0.985)
LN_CBOE_VIX -0.2831 -0.5048 -0.1563 -0.4186 0.0077 0.3765
(0.480) (0.767) (0.681) (0.807) (0.988) (0.899)
LN_COWTIF 1.6103** -0.5048 3.0885*** 1.5865 0.6089 1.4552
(0.030) (0.108) (0.000) (0.268) (0.524) (0.790)
LN_GOLD_FUT -0.9610 -0.5048 0.1214 1.3529 -3.1052* -0.0594
(0.459) (0.588) (0.921) (0.589) (0.064) (0.995)
LN_MSCI_WRLD 1.5132 -4.6713 0.7431 -1.0907 3.1238 6.1434
(0.349) (0.495) (0.627) (0.726) (0.133) (0.606)
CONS. -8.8728 -8.8393 -19.7156 -5.4336 0.7061 -47.889
(0.516) (0.879) (0.128) (0.837) (0.968) (0.635)
N 6,867 6,867 6,867 6,867 6,867 6,867
R-Sq. 0.0242 0.0151 0.0286 0.0023 0.0154 0.0135
Note: Table 3 provides the result of multiple linear regression with categorical independent variable and quantile-
on-quantile regression for the impact of cryptocurrency related cyber-attacks on cryptocurrency closing price. p
values are given in parentheses and *.**, *** represent statistical significance at 10%, 5% and 1% level of
significance.

Electronic copy available at: https://ssrn.com/abstract=3945849

Table 4
The impact of crypto attacks on crypto returns
CRYP_RET
Overall 0.05 PCT 0.25 PCT 0.5 PCT 0.75 PCT 0.95 PCT
CRYP_ATTK -0.0054*** -0.0100* -0.0070*** -0.0006 -0.0026 -0.0069
(0.000) (0.063) (0.000) (0.125) (0.123) (0.114)
LN_CBOE_VIX -0.0611*** -0.1524*** -0.0597*** -0.0041** -0.0311*** -0.0329
(0.000) (0.000) (0.000) (0.031) (0.000) (0.125)
LN_COWTIF -0.0630*** 0.0271 -0.0551*** -0.0038 -0.0323** 0.0193
(0.000) (0.580) (0.000) (0.284) (0.036) (0.627)
LN_GOLD_FUT -0.1438*** -0.1945** -0.0986*** -0.0029 -0.0200 0.0283
(0.000) (0.024) (0.000) (0.642) (0.461) (0.686)
LN_MSCI_WRLD 0.0049 -0.5481*** -0.0740** 0.0025 0.0934*** 0.1819**
(0.869) (0.000) (0.028) (0.743) (0.005) (0.035)
CONS. 1.4836*** 6.0464*** 1.7023*** 0.0299 -0.3305 -1.5166**
(0.000) (0.000) (0.000) (0.650) (0.250) (0.040)
N 6,844 6,844 6,844 6,844 6,844 6,844
R-Sq. 0.0157 0.0572 0.0219 0.0005 0.0137 0.0501
Note: Table 4 provides the result of multiple linear regression with categorical independent variable and
quantile-on-quantile regression for the impact of cryptocurrency related cyber-attacks on cryptocurrency return.
p values are given in parentheses and *.**, *** represent statistical significance at 10%, 5% and 1% level of
significance.

Electronic copy available at: https://ssrn.com/abstract=3945849

Table 5
The impact of crypto attacks on crypto liquidity
CRYP_ILLIQ
Overall 0.05 PCT 0.25 PCT 0.5 PCT 0.75 PCT 0.95 PCT
CRYP_ATTK -0.2743 -0.0001 -0.0026 -0.0134 -0.0759 -0.4733
(0.468) (0.914) (0.700) (0.690) (0.525) (0.695)
LN_CBOE_VIX 5.8655*** -0.0057 -0.0137 0.0543 0.5716 6.7927
(0.002) (0.121) (0.676) (0.743) (0.330) (0.253)
LN_COWTIF -15.9414*** 0.0217*** 0.0926 0.3505 -0.1784 -10.9379
(0.000) (0.001) (0.127) (0.252) (0.869) (0.318)
LN_GOLD_FUT 0.4493 0.0240** 0.1881* 0.8322 7.4352*** 66.3315***
(0.941) (0.042) (0.078) (0.122) (0.000) (0.001)
LN_MSCI_WRLD 24.4507*** -0.1003*** -0.6098*** -3.1882*** -7.9173*** -7.1975
(0.001) (0.000) (0.000) (0.000) (0.001) (0.763)
CONS. -147.6579** 0.5494*** 3.1466*** 17.8037*** 7.5382 -407.7971**
(0.021) (0.000) (0.005) (0.002) (0.709) (0.046)
N 6,844 6,844 6,844 6,844 6,844 6,844
R-Sq. 0.0186 0.000 3.1466 0.0083 0.024 0.0448
Note: Table 5 provides the result of multiple linear regression with categorical independent variable and quantile-
on-quantile regression for the impact of cryptocurrency related cyber-attacks on cryptocurrency illiquidity. p
values are given in parentheses and *.**, *** represent statistical significance at 10%, 5% and 1% level of
significance.

Electronic copy available at: https://ssrn.com/abstract=3945849

Table 6
The impact of cyber-attacks on crypto closing price
LN_CP
Overall 0.05 PCT 0.25 PCT 0.5 PCT 0.75 PCT 0.95 PCT
CYBR_ATTK 0.0170 0.0110 0.0096 0.0149 0.0353*** 0.0011
(0.122) (0.815) (0.370) (0.476) (0.008) (0.990)
LN_CBOE_VIX -0.3248 -0.5835 -0.2274 -0.4983 -0.2431 0.3676
(0.419) (0.735) (0.560) (0.516) (0.617) (0.903)
LN_COWTIF 1.7437** 5.1757 3.0689*** 1.4197 0.6682 1.4372
(0.019) (0.103) (0.000) (0.316) (0.457) (0.795)
LN_GOLD_FUT -1.0060 3.1097 -0.0807 0.8672 -3.1205** -0.1163
(0.438) (0.576) (0.949) (0.726) (0.047) (0.990)
LN_MSCI_WRLD 1.1570 -4.9784 0.6916 -0.9510 2.6942 6.1310
(0.476) (0.474) (0.661) (0.759) (0.171) (0.613)
CONS. -6.2388 -7.6647 -17.5443 -2.0800 4.5025 -47.2752
(0.649) (0.896) (0.188) (0.937) (0.786) (0.644)
N 6,867 6,867 6,867 6,867 6,867 6,867
R-Sq. 0.0245 0.015 0.0287 0.0025 0.0164 0.0135
Note: Table 6 provides the result of multiple linear regression with categorical independent variable and quantile-
on-quantile regression for the impact of overall cyber-attacks on cryptocurrency closing prices. p values are given
in parentheses and *.**, *** represent statistical significance at 10%, 5% and 1% level of significance.

Electronic copy available at: https://ssrn.com/abstract=3945849

Table 7
The impact of cyber-attacks on crypto returns
CRYP_RET
Overall 0.05 PCT 0.25 PCT 0.5 PCT 0.75 PCT 0.95 PCT
CYBR_ATTK 0.0008*** 0.0010 0.0004* 0.0001 0.0016*** 0.0018***
(0.000) (0.164) (0.066) (0.231) (0.000) (0.002)
LN_CBOE_VIX -0.0654*** -0.1562*** -0.0668*** -0.0045*** -0.0347*** -0.0328
(0.000) (0.000) (0.000) (0.004) (0.000) (0.133)
LN_COWTIF -0.0625*** 0.0117 -0.0693*** -0.0034 -0.0334** 0.0128
(0.000) (0.804) (0.000) (0.234) (0.018) (0.750)
LN_GOLD_FUT -0.1383*** -0.2455*** -0.1154*** -0.0038 -0.0505** -0.0159
(0.000) (0.003) (0.000) (0.449) (0.042) (0.822)
LN_MSCI_WRLD -0.0038 -0.5480*** -0.0617*** 0.0010 0.0774** 0.1608*
(0.899) (0.000) (0.065) (0.868) (0.012) (0.068)
CONS. 1.5140*** 6.4916*** 1.8051*** 0.0476 0.0275 -1.0124
(0.000) (0.000) (0.000) (0.373) (0.917) (0.177)
N 6,844 6,844 6,844 6,844 6,844 6,844
R-Sq. 0.016 0.056 0.0188 0.0004 0.0192 0.0532
Note: Table 7 provides the result of multiple linear regression with categorical independent variable and quantile-
on-quantile regression for the impact of overall cyber-attacks on cryptocurrency return. p values are given in
parentheses and *.**, *** represent statistical significance at 10%, 5% and 1% level of significance.

Electronic copy available at: https://ssrn.com/abstract=3945849

Table 8
The impact of cyber-attacks on crypto liquidity
CRYP_ILLIQ
Overall 0.05 PCT 0.25 PCT 0.5 PCT 0.75 PCT 0.95 PCT
CYBR_ATTK -0.0758** -0.0001 -0.0018* -0.012*** -0.0444*** -0.2621*
(0.073) (0.293) (0.060) (0.008) (0.006) (0.098)
LN_CBOE_VIX 6.0070*** -0.0064* -0.0166 0.0688 0.7462 6.8981
(0.000) (0.075) (0.625) (0.683) (0.205) (0.233)
LN_COWTIF -16.554*** 0.019*** 0.077 0.237 -0.795 -11.542
(0.000) (0.004) (0.218) (0.445) (0.464) (0.278)
LN_GOLD_FUT 0.5243 0.0195* 0.1435 0.6052 5.9703*** 57.4688***
(0.916) (0.093) (0.193) (0.267) (0.002) (0.002)
LN_MSCI_WRLD 25.883*** -0.0984*** -0.598*** -3.0735*** -7.0383*** -7.2484
(0.000) (0.000) (0.000) (0.000) (0.003) (0.756)
CONS. -157.027*** 0.5813*** 3.4779*** 19.1075*** 13.8474 -336.917*
(0.003) (0.000) (0.003) (0.001) (0.493) (0.090)
N 6,844 6,844 6,844 6,844 6,844 6,844
R-Sq. 0.0188 0.000 0.0016 0.0087 0.025 0.0477
Note: Table 8 provides the result of multiple linear regression with categorical independent variable and quantile-
on-quantile regression for the impact of overall cyber-attacks on cryptocurrency illiquidity. p values are given in
parentheses and *.**, *** represent statistical significance at 10%, 5% and 1% level of significance.

Electronic copy available at: https://ssrn.com/abstract=3945849