Our new paper, “What the hack: Systematic risk contagion from cyber events” is now available at International Review of Financial Analysis in pre-print version here: https://www.sciencedirect.com/science/article/pii/S1057521919300274.
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- We examine the impact of cybercrime and hacking events on equity market volatility across publicly traded corporations.
- The volatility generated due to cybercrime events is shown to be dependent on the number of clients exposed.
- Significantly large volatility effects are presented for companies who find themselves exposed to hacking events.
- Corporations with large data breaches are punished substantially in the form of stock market volatility and significantly reduced abnormal stock returns.
- Companies with lower levels of market capitalisation are found to be most susceptible to share price reductions.
- Minor data breaches appear to be relatively unpunished by the stock market.
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