{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,17]],"date-time":"2026-04-17T04:42:05Z","timestamp":1776400925023,"version":"3.51.2"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":15,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>A $100 million net flow into spot Bitcoin ETFs is associated with a 53 basis point same-day Bitcoin return. Using daily net flow data and ETF trading data from Databento for the five largest U.S. spot Bitcoin ETFs over January 2024 to April 2025 (313 trading days), I estimate Kyle\u2019s lambda at 53 bps\/$100M under OLS and 74 bps under instrumental variable estimation (first-stage F = 21.58). Flows explain 21% of daily return variation (t = 8.99) and predict next-day returns (Newey-West t = 3.12). Granger causality reveals a bidirectional feedback loop: flows cause returns and returns cause subsequent flows (\u03b2 = 0.47, t = 9.75). The paper\u2019s central finding concerns price impact dynamics. Unconditionally, post-flow cumulative returns show no reversal at any horizon from 1 to 20 days, appearing to contradict equity market evidence (Lou 2012; Coval and Stafford 2007). However, after controlling for future flows, individual flow shocks reverse significantly (t = -2.42 to -3.99 at all horizons). The resolution is a flow-persistence illusion: each day\u2019s price impact is temporary, but strong flow autocorrelation generates new shocks before prior reversals complete, producing cumulative drift that mimics permanent impact. The total price impact reaches 96 bps\/$100M at 10 days (t = 4.49) \u2014 nearly double the same-day estimate \u2014 not because individual shocks are permanent, but because persistent flows accumulate.<\/jats:p>","DOI":"10.2139\/ssrn.6592830","type":"posted-content","created":{"date-parts":[[2026,4,17]],"date-time":"2026-04-17T03:44:48Z","timestamp":1776397488000},"source":"Crossref","is-referenced-by-count":0,"title":["The Price Impact of Spot Bitcoin ETF Flows"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"78","reference":[{"issue":"7","key":"ref1","first-page":"58","article-title":"Direct estimation of equity market impact","volume":"18","author":"R Almgren","year":"2005","journal-title":"Risk"},{"issue":"1","key":"ref2","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/S1386-4181(01)00024-6","article-title":"Illiquidity and stock returns: Cross-section and time-series effects","volume":"5","author":"Y Amihud","year":"2002","journal-title":"Journal of Financial Markets"},{"issue":"6","key":"ref3","doi-asserted-by":"crossref","first-page":"2471","DOI":"10.1111\/jofi.12727","article-title":"Do ETFs increase volatility","volume":"73","author":"I Ben-David","year":"2018","journal-title":"Journal of Finance"},{"key":"ref4","author":"Binance","journal-title":"Historical market data API"},{"issue":"1","key":"ref5","doi-asserted-by":"crossref","first-page":"111","DOI":"10.1016\/S0304-405X(02)00136-8","article-title":"Order imbalance, liquidity, and market returns","volume":"65","author":"T Chordia","year":"2002","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"ref6","doi-asserted-by":"crossref","first-page":"479","DOI":"10.1016\/j.jfineco.2006.09.007","article-title":"Asset fire sales (and purchases) in equity markets","volume":"86","author":"J Coval","year":"2007","journal-title":"Journal of Financial Economics"},{"key":"ref7","author":"Databento","journal-title":"Market data API documentation"},{"key":"ref8","year":"2025","journal-title":"Bitcoin ETF flow data"},{"issue":"1","key":"ref9","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1111\/j.1540-6261.1991.tb03749.x","article-title":"Measuring the information content of stock trades","volume":"46","author":"J Hasbrouck","year":"1991","journal-title":"Journal of Finance"},{"issue":"3","key":"ref10","doi-asserted-by":"crossref","first-page":"1445","DOI":"10.1111\/j.1540-6261.2009.01469.x","article-title":"Trading costs and returns for U.S. equities: Estimating effective costs from daily data","volume":"64","author":"J Hasbrouck","year":"2009","journal-title":"Journal of Finance"},{"issue":"4","key":"ref11","doi-asserted-by":"crossref","first-page":"1135","DOI":"10.1093\/rof\/rfae004","article-title":"Building trust takes time: Limits to arbitrage for blockchainbased assets","volume":"28","author":"N Hautsch","year":"2024","journal-title":"Review of Finance"},{"issue":"6","key":"ref12","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/1913210","article-title":"Continuous auctions and insider trading","volume":"53","author":"A S Kyle","year":"1985","journal-title":"Econometrica"},{"issue":"12","key":"ref13","doi-asserted-by":"crossref","first-page":"3457","DOI":"10.1093\/rfs\/hhs103","article-title":"A flow-based explanation for return predictability","volume":"25","author":"D Lou","year":"2012","journal-title":"Review of Financial Studies"},{"issue":"2","key":"ref14","doi-asserted-by":"crossref","first-page":"293","DOI":"10.1016\/j.jfineco.2019.07.001","article-title":"Trading and arbitrage in cryptocurrency markets","volume":"135","author":"I Makarov","year":"2020","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"ref15","doi-asserted-by":"crossref","first-page":"703","DOI":"10.2307\/1913610","article-title":"A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix","volume":"55","author":"W K Newey","year":"1987","journal-title":"Econometrica"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,4,17]],"date-time":"2026-04-17T03:46:15Z","timestamp":1776397575000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6592830"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":15,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6592830","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}