{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T19:56:37Z","timestamp":1786737397138,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper develops a theoretical model of price impact in fragmented cryptocurrency markets, where ETF-driven order flow must be routed across heterogeneous exchanges with varying liquidity depth. Extending Kyle (1985) to a multi-venue setting, I derive an aggregate price impact function that is linear for moderate flows but becomes convex when flows exceed any single venue's capacity. The model generates four testable predictions: (1) linear price impact for moderate flows, (2) volatility amplification, (3) permanent price impact with no reversal, and (4) flow-driven return momentum. Using 563 trading days of net flow data from all U.S. spot Bitcoin ETFs (January 2024-April 2026), sourced from Farside Investors, I confirm all four predictions. An instrumental variables approach using lagged flows (first-stage F = 89.5) yields a causal price impact of 0.20% per $100 million net inflow (t = 2.65), roughly half the OLS estimate (0.41%, t = 10.38), indicating substantial same-day simultaneity between flows and returns. Volatility amplifies the price impact (t = 2.51), current flows predict next-day returns (t = 2.26), and there is no evidence of price reversal at any horizon up to 12 months (250 trading days)-in stark contrast to the quarterly reversal documented in equity markets by Lou (2012). The flow-return relationship is stable across subperiods and robust to the exclusion of extreme flows. These findings have implications for the design of ETF products linked to fragmented underlying assets.<\/jats:p>","DOI":"10.2139\/ssrn.6567058","type":"posted-content","created":{"date-parts":[[2026,4,20]],"date-time":"2026-04-20T16:15:58Z","timestamp":1776701758000},"source":"Crossref","is-referenced-by-count":0,"title":["Liquidity Fragmentation and the Price Impact of ETF Flows: A Model of Cross-Venue Arbitrage in Cryptocurrency Markets"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T18:53:52Z","timestamp":1786733632000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6567058"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6567058","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}