Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2025-04-15 DOI:10.1016/j.qref.2025.102006

Babalos Vassilios , Elie Bouri , Rangan Gupta

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Abstract

This paper provides the first empirical evidence of whether the introduction of US spot Bitcoin ETFs affected the returns and volatility of major cryptocurrencies. Using data from December 18, 2017 to March 15, 2024, we apply an event-study methodology within a GARCH-based framework. Our results reveal a significant effect of the introduction of spot Bitcoin ETFs on cryptocurrency returns and volatility. The analysis shows a positive impact for Bitcoin, Ethereum, and Litecoin spot price returns around the event date. The volatility of Bitcoin and Ripple spot markets decreased following the introduction of spot Bitcoin ETFs, which supports the stabilization hypothesis for these two cases. We also examine the volatility spillovers using a wavelet coherence approach, and reveal significant volatility spillovers from Grayscale Bitcoin ETF to Bitcoin futures and to a lesser extend to the Bitcoin spot market. Our findings enhance the limited understanding of the price discovery and functioning of the cryptocurrency markets, which could be useful for investors, regulators, and policymakers.

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美国现货比特币etf的推出是否会影响主要加密货币的现货回报和波动性？

本文提供了第一个经验证据，证明美国现货比特币etf的引入是否影响了主要加密货币的回报和波动性。使用2017年12月18日至2024年3月15日的数据，我们在基于garch的框架内应用了事件研究方法。我们的研究结果揭示了现货比特币etf对加密货币回报和波动性的显著影响。分析显示，在活动日期前后，比特币、以太坊和莱特币的现货价格回报将受到积极影响。引入比特币现货etf后，比特币和瑞波币现货市场的波动性下降，这支持了这两种情况的稳定假设。我们还使用小波相干性方法研究了波动性溢出效应，并揭示了从灰度比特币ETF到比特币期货的显著波动性溢出效应，并在较小程度上扩展到比特币现货市场。我们的研究结果增强了对加密货币市场价格发现和功能的有限理解，这可能对投资者、监管机构和政策制定者有用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.