Osakemarkkinoiden reaktio kyber- ja tietoturvaloukkauksiin Euroopan markkinoilla : tapahtumatutkimus
Elmeri Einola · LUTPub (LUT University) · 2026
The purpose of this master’s thesis is to examine the market reaction to the disclosure of corporate cyber and privacy incidents to determine if there is a statistically significant short-term market reaction to these events. The sample consists of 112 disclosures of cyber and privacy incidents occurred on publicly traded companies listed on European stock exchanges during the years 2015-2024. Furthermore, the sample was split into sub-samples using the CIA triad as the classification framework to examine if the reaction differs between the different types of incidents. The research itself was carried out using the event study methodology, in which stock abnormal returns were calculated and evaluated for eight event windows of different lengths. The statistical significance of the abnormal returns is tested with a cross-sectional t-test as the parametric test and the Wilcoxon signed-rank test as the non-parametric test. Additional regression analysis was carried out to determine if company-specific characteristics affect the market reaction. The results show a statistically highly significant negative market reaction when the whole sample of 112 stocks is considered. During the event day, an average abnormal return of -0.741 percent is found, with it being statistically significant at the 1% significance level. For the whole sample, statistically significant negative market reactions were also found for event windows of different lengths. No statistically significant market reaction was found for any event window examined for the Confidentiality sample, whereas a statistically highly significant negative market reaction for many event windows was found for the Availability sample cases. Additionally, the regression analysis indicates that firms with a higher market capitalization experience a less negative market reaction, whereas firms operating in Consumer Non-Cyclicals or Energy sectors were found to face a more negative market reaction.