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Infrastructure vs Regulatory Shocks: Asymmetric Volatility Response in Cryptocurrency Markets | DAI-2506 | Dissensus AI Working Paper

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Cryptocurrency multi-moment event study

Replication package for Do Cryptocurrency Markets Differentiate Infrastructure from Regulatory Shocks? A Multi-Moment Event Study with Dependence-Robust Inference (Murad Farzulla), forthcoming in Digital Finance.

Use replication-2026-09-03/. It holds the analysis code, source data and stored outputs of the final (revision 8, 3 September 2026) production version. The root code/, data/, results/, paper/ and springer-submission/ directories predate the correction set and are kept only for history; they are not the source of record for any reported number.

Archived release: Zenodo concept DOI 10.5281/zenodo.18099608 (resolves to the latest version).

Headline results

The first-moment difference is +8.69 percentage points (event-level block bootstrap p = 0.202). The second-moment curated point multiplier is 3.49×, with conditional fixed-path bootstrap p = 0.389; floored recursive sensitivities reject one-sided and require material positivity repair. The asymmetry is directional, selection-conditional, inference-scheme-sensitive and unresolved. Failure to reject is not evidence that markets treat the two categories identically.

Licence

Code: MIT (see LICENSE). The manuscript itself is not redistributed here.

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Infrastructure vs Regulatory Shocks: Asymmetric Volatility Response in Cryptocurrency Markets | DAI-2506 | Dissensus AI Working Paper

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