Sentiment Without Structure: Differential Market Responses to Infrastructure vs Regulatory Events in Cryptocurrency Markets

Abstract: We investigate differential market responses to infrastructure versus regulatory events in cryptocurrency markets using event study methodology with 4-category event classification. From 50 candidate events (2019-2025), 31 meet our impact and estimation-data criteria across 4 cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Solana (SOL), and Cardano (ADA). We employ constant mean and market-adjusted models with event-level block bootstrap confidence intervals (CIs) that properly account for cross-sectional correlation. Our primary comparison focuses on negative-valence events: infrastructure failures (10 events identified; 8 with sufficient estimation data for analysis) versus regulatory enforcement (7 events). We find infrastructure failures produce mean Cumulative Abnormal Return (CAR) of -7.6% (bootstrap 95% CI: [-25.8%, +11.3%]) and regulatory enforcement produces mean CAR of -11.1% (CI: [-31.0%, +10.7%]). The difference in mean CARs of +3.6 percentage points (pp) has CI [-25.3%, +30.9%], p = 0.81. This is a null finding: markets respond similarly to both shock types when controlling for event valence. Robustness checks confirm: (1) consistent negative sign across all window specifications ([0, +1] to [-5, +30]), (2) results survive leave-one-out exclusion of FTX and Terra, (3) market model with BTC/equal-weighted (EW) proxy attenuates but does not flip results. The 4-category classification addresses prior conflation of upgrades with failures. Interpretation note: This exploratory analysis should be treated as hypothesis-generating; any post-hoc theoretical framing requires prospective testing with larger samples.