When Markets Never Sleep: Political and Geopolitical Shocks, Market Microstructure, and Order-Flow Toxicity in Crypto and Traditional Assets

This deposit contains the replication material for the study “Where Shocks Originate: Order-Flow Toxicity in 24/7 Crypto and Traditional Markets”. The study examines whether continuously traded cryptocurrency markets absorb political, geopolitical and institutional information through a distinct order-flow toxicity channel relative to traditional assets. The empirical design uses daily data for 26 assets, including 12 cryptocurrencies and 14 traditional ETFs/benchmarks, over 2016–2026. Eleven discrete shocks are grouped by origin into external political/geopolitical shocks, crypto-native distress shocks, crypto-salient political/institutional shocks, hybrid financial-system shocks and weekend-origin shocks. The replication code constructs VPIN-style bulk-volume-classification toxicity proxies, order-flow imbalance measures, a composite toxicity-pressure index and secondary liquidity-stress indicators, including Amihud, Roll and high–low spread proxies. It then estimates panel fixed-effects models with crypto–shock interactions, global controls, calendar effects, random placebo calendars, Benjamini–Hochberg false-discovery-rate adjustments, date-clustered inference, leave-one-out checks, pre-event placebo offsets and stationarity diagnostics. The dataset is generated from publicly available market data and public event-date information. The results are interpreted as shock-window associations rather than causal treatment effects.