{"title":"Market impact of the bitcoin ETF introduction on bitcoin futures","authors":"Yu-Lun Chen , Ke Xu , J. Jimmy Yang","doi":"10.1016/j.irfa.2024.103810","DOIUrl":null,"url":null,"abstract":"<div><div>We investigate the introduction effect of ProShares bitcoin strategy ETF (BITO) on investor structure and market quality in Chicago Mercantile Exchange bitcoin futures. We find that the BITO introduction significantly changes the investor structure in bitcoin futures, with ETF asset managers being the major long-side participants against the short-side hedge funds. Furthermore, market participants become more concentrated and the market liquidity improves in the bitcoin futures after the BITO introduction. The change in investor structure hurts futures' price efficiency during the first three days of BITO introduction, but it then returns to the normal level. The BITO introduction does not appear to affect long-run market efficiency and volatility of bitcoin futures.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"97 ","pages":"Article 103810"},"PeriodicalIF":9.8000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924007427","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2024/11/22 0:00:00","PubModel":"Epub","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We investigate the introduction effect of ProShares bitcoin strategy ETF (BITO) on investor structure and market quality in Chicago Mercantile Exchange bitcoin futures. We find that the BITO introduction significantly changes the investor structure in bitcoin futures, with ETF asset managers being the major long-side participants against the short-side hedge funds. Furthermore, market participants become more concentrated and the market liquidity improves in the bitcoin futures after the BITO introduction. The change in investor structure hurts futures' price efficiency during the first three days of BITO introduction, but it then returns to the normal level. The BITO introduction does not appear to affect long-run market efficiency and volatility of bitcoin futures.
期刊介绍：
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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