When the Event Zero Is Wrong: Anchor Misplacement, Peak Leverage, and Spurious Amplification in Liquidation Event Studies

Event studies of liquidation cascades locate their event zero using a rule applied to the data, usually its peak day and hour. On two Hyperliquid cascades, a zero-transaction-hash heuristic, which in fact tags time-weighted average price (TWAP) executions, feeds that rule and places the zero five hours late in one event and a day early in the other. In the mislocated windows, a two-way fixed-effects liquidation × event interaction is +1.44 and +0.48, both significant under Driscoll–Kraay errors; correctly located, on the same rows, it is a null and a negative estimate resting on one coin-minute. Because the coefficient is a difference of slopes, the peak hour, carrying 78–93% of the window’s liquidations at a low slope, pulls down whichever side contains it: every placebo window containing the peak returns a negative interaction and most excluding it a positive one. These counts are nested views of two price paths, not independent evidence. Rebuilt panels, a high–low spread proxy, and a wild cluster bootstrap over nine coins preserve the sign pattern but not every significance level. The event zero must therefore be verified against a native label before estimation; window sweeps and peak deletion do not substitute for that check.