Infrastructure vs Regulatory Shocks: Asymmetric Volatility Response in Cryptocurrency Markets

Abstract This paper investigates asymmetric market responses to infrastructure failures versus regulatory enforcement actions in cryptocurrency markets. Using GJR-GARCH-X models with exogenous event dummies on Bitcoin, Ethereum, Solana, and Cardano (2019–2025), we find infrastructure events generate 5.7 times larger conditional variance impacts than regulatory events (p = 0.0008). Key Findings 5.7x volatility asymmetry: Infrastructure failures (exchange hacks, network outages, protocol exploits) generate dramatically larger volatility responses than regulatory actions (p = 0.0008) Asymmetric persistence: Infrastructure events produce transient spikes; regulatory events generate persistent but smaller shifts Cross-asset consistency: Pattern holds across BTC, ETH, SOL, and ADA with varying magnitudes GJR-GARCH-X methodology: Exogenous dummy variables in the variance equation capture event-specific conditional heteroskedasticity Status Under Review at Digital Finance (Springer). Research Square preprint available. Working Paper DAI-2506. Links Research Square: doi.org/10.21203/rs.3.rs-8323026/v1 ASCRI: systems.ac/3/DAI-2506 Research Lab: Dissensus AI