Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks

Abstract We investigate whether cryptocurrency markets differentiate between infrastructure failures and regulatory enforcement at the return level. Using event-level block bootstrap inference on 31 events across Bitcoin, Ethereum, Solana, and Cardano (2019–2025), we find no statistically significant difference in cumulative abnormal returns (infrastructure −7.6% vs regulatory −11.1%, p = 0.81). Key Findings Null at the first moment: Same shock types that produce indistinguishable return responses generate dramatically different volatility signatures Risk channel differentiation: Markets differentiate through the second moment (variance), not expected returns Companion result: 5.7x larger volatility impacts from infrastructure events (p = 0.0008) Robust inference: Block bootstrap preserving cross-sectional correlation; 8 robustness specifications Links Code & Data: github.com/studiofarzulla/sentiment-without-structure ASCRI: systems.ac/3/DAI-2507 Research Lab: Dissensus AI