HOW INFORMATION ASYMMETRY AND CYBERCRIMINAL RISK AFFECT VOLATILITY AND RETURN OF CRYPTOCURRENCIES

Authors

  • Imran, W. A. W. J. School of Business and Economics, Universiti Putra Malaysia (UPM), Jalan Universiti 1 Serdang, 43400 Seri Kembangan, Selangor, Malaysia.
  • Yahya, M. H. School of Business and Economics, Universiti Putra Malaysia (UPM), Jalan Universiti 1 Serdang, 43400 Seri Kembangan, Selangor, Malaysia.
  • Hafiz Ali, M. Faculty of Business and Management, Universiti Teknologi MARA (UiTM), Negeri Sembilan Branch, Rembau Campus, Jalan, Kampung Pilin, 71300 Rembau, Negeri Sembilan, Malaysia.
  • Basir, M. A. Q. A. Treasurer’s Office, Universiti Kebangsaan Malaysia (UKM), 43600 UKM, Bangi Selangor, Malaysia.

Keywords:

Cryptocurrency, cybercriminal, volatility, cumulative abnormal return, EGARCH-GED

Abstract

This research studies the factors that affect volatility in cryptocurrency markets. The relationship
between information asymmetry and cybercriminal risks are studied against the volatility and return of
cryptocurrencies, namely, Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) dan Ripple (XRP).
These cryptocurrencies are selected as they are cryptocurrencies that are being traded by Luno, Sinergy
and Tokenzie (the exchange companies regulated by the Securities Commissions of Malaysia). 730
observations were collected for each cryptocurrency via the CoinMarketCap website, from 1 January
2019 to 30 December 2020. The ADF test and the Kolmogorov-Smirnov test have been conducted
before the analysis of the data. The results show the stationarity and non-normality of the data collected.
The EGARCH-GED model is used to analyse the relationship between information asymmetry and
volatility. The findings indicate a significant relationship between information asymmetry and volatility
in BTC, ETH ad XRP. The Event Study Method (ESM) is used to analyse the effect of cybercriminal
risks on returns. The result shows that all four cryptocurrencies show a significant relationship between
cybercriminal risks and returns.

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Published

2021-10-31

Issue

Vol. 9 No. 2 (2021): October 2021

Section

Archives

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