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Price Discovery in Bitcoin ETF Market

Author

Listed:
  • Kiana Kia
  • Bo Liu
  • Qian Li
  • Victor Song
  • Ke Xu

Abstract

In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US Bitcoin futures‐based Bitcoin ETF, to December 30, 2022. The trivariate FCVAR analysis reveals that the three markets are pairwise cointegrated. In the spot‐futures pair, the spot market emerges as the dominant force in price discovery, while in the spot–ETF pair, the ETF market assumes a leading role. Our paper is the first to show the importance of the newly introduced Bitcoin ETF market in the price discovery process. Extending the analysis to the more recent period, we find that the approval of spot‐based Bitcoin ETFs has weakened the price discovery contribution of the futures‐based ETF and Bitcoin spot market has since become the dominant venue for price discovery.

Suggested Citation

  • Kiana Kia & Bo Liu & Qian Li & Victor Song & Ke Xu, 2026. "Price Discovery in Bitcoin ETF Market," The Financial Review, Eastern Finance Association, vol. 61(2), pages 435-449, May.
    • Handle: RePEc:bla:finrev:v:61:y:2026:i:2:p:435-449
    DOI: 10.1111/fire.70026
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