Same Returns, Different Risks

Abstract

We investigate differential liquidity responses to infrastructure versus regulatory events in cryptocurrency markets using perpetual futures funding rates and computed liquidity metrics (Amihud illiquidity, Roll spread, Corwin-Schultz spread). Analyzing five major events (2021–2024) for BTC and ETH, we find that infrastructure events (exchange failures, protocol collapses) produce significantly larger liquidity deterioration than regulatory events (enforcement actions, policy announcements). The Corwin-Schultz spread increases 65.1% following infrastructure events versus decreasing 11.4% following regulatory events (p = 0.0009).

Methodology

Suggested Citation

BibTeX

@misc{farzulla2025_sentiment_without_structure,
  author       = {Farzulla, Murad},
  title        = {Same Returns, Different Risks},
  year         = {2025},
  howpublished = {ASCRI Working Paper DAI-2507},
  doi          = {10.5281/zenodo.18099609},
  url          = {https://systems.ac/3/DAI-2507}
}

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