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Market impact of the bitcoin ETF introduction on bitcoin futures

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  • Chen, Yu-Lun
  • Xu, Ke
  • Yang, J. Jimmy

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.

Suggested Citation

  • Chen, Yu-Lun & Xu, Ke & Yang, J. Jimmy, 2025. "Market impact of the bitcoin ETF introduction on bitcoin futures," International Review of Financial Analysis, Elsevier, vol. 97(C).
    • Handle: RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007427
    DOI: 10.1016/j.irfa.2024.103810
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    More about this item

    Keywords

    Bitcoin futures; ProShares bitcoin strategy ETF (BITO); Efficiency; Liquidity;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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