{
  "name": "Impact of US Bitcoin ETF Introduction on BTC and ETH Intraday Regime Seasonality",
  "description": "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.",
  "image": "https://www.tomespel.com/p1.png",
  "external_url": "https://www.tomespel.com/p1/",
  "attributes": [
    {
      "trait_type": "Publication Date",
      "value": "2024-03-31"
    },
    {
      "trait_type": "Conference",
      "value": "Future Technologies Conference 2024"
    },
    {
      "trait_type": "Series",
      "value": "Lecture Notes in Networks and Systems, vol 1155"
    },
    {
      "trait_type": "Publisher",
      "value": "Springer"
    },
    {
      "trait_type": "DOI",
      "value": "10.2139/ssrn.4779488"
    },
    {
      "trait_type": "SSRN ID",
      "value": "4779488"
    },
    {
      "trait_type": "Pages",
      "value": "20"
    }
  ],
  "properties": {
    "@context": "https://schema.org",
    "@type": "ScholarlyArticle",
    "author": [
      {
        "@type": "Person",
        "name": "Tom J. Espel",
        "affiliation": {
          "@type": "Organization",
          "name": "Independent"
        }
      }
    ],
    "datePublished": "2024-03-31",
    "dateModified": "2025-02-01",
    "keywords": [
      "bitcoin",
      "cryptocurrency",
      "ETF",
      "ethereum",
      "intraday seasonality",
      "liquidity regimes"
    ],
    "isPartOf": {
      "@type": "PublicationVolume",
      "volumeNumber": "1155",
      "isPartOf": {
        "@type": "EventSeries",
        "name": "Future Technologies Conference 2024",
        "publisher": {
          "@type": "Organization",
          "name": "Springer"
        }
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    },
    "numberOfPages": "20",
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        "propertyID": "DOI",
        "value": "10.2139/ssrn.4779488"
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        "value": "4779488"
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    ],
    "url": [
      "https://www.tomespel.com/p1/",
      "https://ssrn.com/abstract=4779488"
    ],
    "citation": [
      {
        "@type": "ScholarlyArticle",
        "name": "Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review",
        "author": "José Almeida, Tiago Cruz, Gonçalves"
      },
      {
        "@type": "ScholarlyArticle",
        "name": "Illiquidity and stock returns: cross-section and time-series effects",
        "author": "Yakov Amihud",
        "identifier": "Journal of Financial Markets, volume 5, issue 1, p. 31-56"
      },
      {
        "@type": "ScholarlyArticle",
        "name": "Liquidity Co-Movements and Volatility Regimes in Cryptocurrencies",
        "author": "Hubert Anciaux"
      },
      {
        "@type": "ScholarlyArticle",
        "name": "The Night and Day of Amihud's (2002) Liquidity Measure",
        "author": "H Yashar Barardehi"
      },
      {
        "@type": "Book",
        "name": "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making",
        "author": "Olivier Guéant"
      },
      {
        "@type": "ScholarlyArticle",
        "name": "Common factors in prices, order flows, and liquidity",
        "author": "Joel Hasbrouck"
      },
      {
        "@type": "ScholarlyArticle",
        "name": "Commonality in Liquidity: A Demand-Side Explanation",
        "author": "Andrew Koch, Stefan Ruenzi, Laura Starks"
      },
      {
        "@type": "Book",
        "name": "Market microstructure in practice",
        "author": "Charles-Albert Lehalle, Sophie Laruelle"
      },
      {
        "@type": "Book",
        "name": "Analysis of financial time series. 3rd ed.",
        "author": "S Ruey Tsay"
      },
      {
        "@type": "ScholarlyArticle",
        "name": "Relationships among return and liquidity of cryptocurrencies",
        "author": "Mianmian Zhang"
      }
    ],
    "about": [
      {
        "@type": "Thing",
        "name": "Bitcoin ETF",
        "description": "US Bitcoin ETF introduction on January 11, 2024"
      },
      {
        "@type": "Thing",
        "name": "Intraday Trading Patterns",
        "description": "Analysis of liquidity regimes across Asia, Europe, and Americas trading sessions"
      },
      {
        "@type": "Thing",
        "name": "Market Microstructure",
        "description": "Evidence of traditional finance patterns in cryptocurrency markets"
      }
    ],
    "inLanguage": "en"
  }
}