When Traditional Markets Close: Public Holidays, Crypto Markets, and Cross-Market Liquidity Transmission

This repository contains the online appendix and replication materials for the paper When Traditional Markets Close: Public Holidays, Crypto Markets, and Cross-Market Liquidity Transmission. The archive includes the Python script used to collect, clean, transform and analyze the data; the constructed empirical dataset; and the full set of regression results and robustness checks reported in the paper. The materials cover daily cryptocurrency markets, traditional equity indices, exchange-traded funds, global financial controls and public-holiday exposure indicators across the United States, Europe and Asia-Pacific. The dataset and code are designed to reproduce the empirical analysis of three mechanisms: cryptocurrency-market responses to traditional-market public holidays, reopening frictions in conventional markets after holiday-induced trading gaps, and cross-market transmission from crypto activity during closures to traditional-market reopening outcomes. The results files include the main specifications, selected key coefficients, Benjamini–Hochberg false-discovery-rate adjusted p-values, robustness checks, descriptive statistics and holiday-variable summaries. These materials are provided to support transparency, reproducibility and further research on public holidays, cryptocurrency markets, international financial markets and market efficiency.