Do Cryptocurrency Markets Differentiate Infrastructure from Regulatory Shocks? A Multi-Moment Event Study with Dependence-Robust Inference
Version note · 19 September 2026
Forthcoming in Digital Finance; accepted 4 August 2026. The downloadable PDF is the 12 September author copy, preserving the approved 3 September production text. It is not the publisher’s version of record. The publisher DOI will be added when the version of record is available.
Summary
A multi-moment event study asks whether cryptocurrency markets distinguish infrastructure shocks from regulatory shocks. GJR-GARCH-X volatility modelling and dependence-robust inference separate curated directional contrasts from uncertainty under cross-asset dependence and heavy tails. The paper reports the limits of the evidence alongside the event-class comparisons, with replication code for the reported tables.
Suggested citation
Murad Farzulla (2026). Do Cryptocurrency Markets Differentiate Infrastructure from Regulatory Shocks? A Multi-Moment Event Study with Dependence-Robust Inference. Dissensus Working Paper DAI-2506. DOI: 10.5281/zenodo.18099608
Methodology
GJR-GARCH-X
Multi-moment event study
Dependence-robust inference
Block bootstrap
Topics
Financial Markets
Cryptocurrency
Volatility Modeling