Cyber Attacks and Stock Market Activity

39 Pages Posted: 5 Jun 2018 Last revised: 30 Aug 2018

See all articles by Daniele Bianchi

Daniele Bianchi

University of Warwick - Finance Group

Onur Tosun

University of Warwick - Finance Group

Date Written: June 4, 2018

Abstract

We study how financial markets react to unexpected corporate security breaches both in the short- and in the long-term. The main results show that daily excess returns drop, trading volume increases, and liquidity deteriorates upon the public disclosure of first-time corporate hacking events. The evidence suggests that trading volume increases due to selling pressure. In addition, the empirical analysis demonstrates that security breaches affect firms' policies in the long-run, up to five years after the public announcement of a security breach. These results are consistent with the hypothesis that security breaches represent unexpected negative shocks to firms' reputation, which lead investors to react regardless of the economic fundamentals.

Keywords: Security Breaches, Hacking, Stock Returns, Trading Volume, Market Liquidity.

JEL Classification: G14, G32, G11

Suggested Citation

Bianchi, Daniele and Tosun, Onur Kemal, Cyber Attacks and Stock Market Activity (June 4, 2018). Available at SSRN: https://ssrn.com/abstract=3190454 or http://dx.doi.org/10.2139/ssrn.3190454

Daniele Bianchi (Contact Author)

University of Warwick - Finance Group ( email )

Gibbet Hill Rd
Coventry, CV4 7AL
Great Britain

HOME PAGE: http://whitesphd.com/

Onur Kemal Tosun

University of Warwick - Finance Group ( email )

Gibbet Hill Rd
Coventry CV4 7AL
United Kingdom
+44(0)2476524541 (Phone)

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