Impact of US Bitcoin ETF Introduction on BTC and ETH Intraday Regime Seasonality

Abstract

We evidence intraday liquidity regimes for BTC and ETH and highlight the impact of the introduction of the US Bitcoin ETF on the liquidity structure of those markets. We analysed exchange data two months before and two months after the introduction of the ETF on price and traded volume.
We have found evidence of intraday seasonalities and commonalities for volatility and traded volumes between both cryptocurrencies. Those are the strongest during the weekdays. We have also identified patterns that are known to traditional foreign exchange markets.
At the time of writing, we have not found in the literature either evidence of those intraday commonalities, or a quantified analysis of the impact of the introduction of the US Bitcoin ETF.

Keywords: bitcoin, cryptocurrency, ETF, ethereum, intraday seasonality, liquidity regimes

JEL Classification: C58