Vassilios, BabalosBouri, ElieGupta, Rangan2025-07-032025-07-032025-06Vassilios, B., Bouri, E. & Gupta, R. 2025, 'Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?', Quarterly Review of Economics and Finance, vol. 102, art. 102006, pp. 1-10, doi : 10.1016/j.qref.2025.102006.1062-9769 (print)1878-4259 (online)10.1016/j.qref.2025.102006http://hdl.handle.net/2263/103132This 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. HIGHLIGHTS • Study the impact of introduction of Spot Bitcoin ETFs on the cryptocurrency market. • Apply event study methodology within a GARCH framework. • Find a positive impact for Bitcoin, Ethereum, and Litecoin spot price returns. • Volatility of Bitcoin and Ripple decreased, supporting the stabilization hypothesis. • Wavelet coherence analysis reveals volatility spillovers from Bitcoin ETF to Bitcoin futures.en© 2025 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).US spot Bitcoin ETF introductionSEC approvalCryptocurrency spot returnsVolatilityEvent studyGARCH-X modelsExchange-traded funds (ETFs)Securities and Exchange Commission (SEC)Generalized autoregressive conditional heteroskedasticity (GARCH)Article