We investigate whether cryptocurrency markets differentiate between infrastructure failures and regulatory enforcement at the return level, complementing a companion conditional variance analysis that finds 5.7 times larger volatility impacts from infrastructure events (p = 0.0008). 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 between infrastructure failures (-7.6%) and regulatory enforcement (-11.1%): the difference of +3.6 pp has p = 0.81 with 95% CI [-25.3%, +30.9%]. This null acquires substantive meaning alongside the companion's highly significant variance result: the same events that produce indistinguishable return responses generate dramatically different volatility signatures. Markets differentiate shock types through the risk channel -- the second moment -- rather than expected returns. The block bootstrap methodology, which resamples entire events to preserve cross-sectional correlation, reveals that prior parametric approaches systematically understate uncertainty by inflating degrees of freedom. Results are robust across eight specifications including permutation tests, leave-one-out analysis, and the Ibragimov-Mueller few-cluster test.

翻译：本研究探讨加密货币市场在回报层面是否对基础设施故障与监管执法做出区分，作为补充的伴随条件方差分析发现基础设施事件引发的波动性影响高出5.7倍（p = 0.0008）。通过对比特币、以太坊、Solana和Cardano在2019-2025年间31个事件进行事件层级区块自助法推断，我们发现基础设施故障（-7.6%）与监管执法（-11.1%）的累积异常回报无统计学显著差异：+3.6个百分点的差异值对应p = 0.81，95%置信区间为[-25.3%, +30.9%]。这一零结果在与伴随研究高度显著的方差结果结合时获得实质意义：产生不可区分回报响应的事件却形成了截然不同的波动特征。市场通过风险渠道——即二阶矩——而非预期回报来区分冲击类型。通过重采样完整事件以保持横截面相关性的区块自助法表明，先前参数化方法因虚增自由度而系统性地低估了不确定性。研究结果在八种设定中均保持稳健，包括置换检验、留一分析及Ibragimov-Mueller少集群检验。