How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies
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). Th...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Teknologi MARA (UiTM) Negeri Sembilan
2021
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| Online Access: | http://psasir.upm.edu.my/id/eprint/97557/ http://psasir.upm.edu.my/id/eprint/97557/1/ABSTRACT.pdf |
| _version_ | 1848862631702560768 |
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| author | Wan Jamarul Imran, Wan Atiqah Yahya, Mohamed Hisham Ali, Hafiz Abdul Basir, Mohd Akbal Qamas |
| author_facet | Wan Jamarul Imran, Wan Atiqah Yahya, Mohamed Hisham Ali, Hafiz Abdul Basir, Mohd Akbal Qamas |
| author_sort | Wan Jamarul Imran, Wan Atiqah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T13:20:06Z |
| format | Article |
| id | upm-97557 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T13:20:06Z |
| publishDate | 2021 |
| publisher | Universiti Teknologi MARA (UiTM) Negeri Sembilan |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-975572022-07-26T03:07:36Z http://psasir.upm.edu.my/id/eprint/97557/ How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies Wan Jamarul Imran, Wan Atiqah Yahya, Mohamed Hisham Ali, Hafiz Abdul Basir, Mohd Akbal Qamas 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. Universiti Teknologi MARA (UiTM) Negeri Sembilan 2021 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/97557/1/ABSTRACT.pdf Wan Jamarul Imran, Wan Atiqah and Yahya, Mohamed Hisham and Ali, Hafiz and Abdul Basir, Mohd Akbal Qamas (2021) How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies. Journal of Academia Universiti Teknologi MARA Negeri Sembilan, 9 (2). 121 - 130. ISSN 2289-6368 https://myjms.mohe.gov.my/index.php/joa/article/view/14486 |
| spellingShingle | Wan Jamarul Imran, Wan Atiqah Yahya, Mohamed Hisham Ali, Hafiz Abdul Basir, Mohd Akbal Qamas How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| title | How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| title_full | How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| title_fullStr | How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| title_full_unstemmed | How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| title_short | How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| title_sort | how information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies |
| url | http://psasir.upm.edu.my/id/eprint/97557/ http://psasir.upm.edu.my/id/eprint/97557/ http://psasir.upm.edu.my/id/eprint/97557/1/ABSTRACT.pdf |