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

Vassilios Babalos, Elie Bouri and Rangan Gupta

The Quarterly Review of Economics and Finance, 2025, vol. 102, issue C

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.

Keywords: US spot Bitcoin ETF introduction; SEC approval; Cryptocurrency spot returns and volatility; Event study; GARCH-X models (search for similar items in EconPapers)
JEL-codes: C32 G00 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S106297692500047X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies? (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:102:y:2025:i:c:s106297692500047x

DOI: 10.1016/j.qref.2025.102006

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().