From Flows to Value: Cointegration Between Bitcoin Spot ETF Assets and Bitcoin Price

Authors

  • Taghi Guliyev University of Illinois Urbana-Champaign
  • Aysu Ahmadova School of Mathematics, Cardiff University, Cardiff, United Kingdom

DOI:

https://doi.org/10.5195/ledger.2025.393

Keywords:

Bitcoin Spot ETFs, Cryptocurrency, Net Flow Analysis, Cointegration

Abstract

This study investigates the long-run relationship between the net assets of Bitcoin spot exchange-traded funds (ETFs) and Bitcoin’s price. Using daily data from 11 January 2024 to 16 May 2025, we employ cointegration techniques—Fully Modified OLS, Dynamic OLS, and Canonical Cointegrating Regression—to test for a stable equilibrium linking these series. The empirical results indicate a strong positive association in the long run: periods of expanding Bitcoin ETF assets correspond to higher Bitcoin price levels. Cointegration is confirmed at the 10% significance level, suggesting that the ETF assets under management and the Bitcoin market price move together in a persistent equilibrium. These findings support the hypothesis that ETF-driven demand exerts a lasting influence on Bitcoin’s valuation. By highlighting a structural connection between regulated Bitcoin investment vehicles and the underlying cryptocurrency, the study provides timely evidence of how financial innovation can shape asset pricing in the digital asset market.

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Published

2025-12-16

How to Cite

Guliyev, T., & Ahmadova, A. (2025). From Flows to Value: Cointegration Between Bitcoin Spot ETF Assets and Bitcoin Price. Ledger, 10, 154–172. https://doi.org/10.5195/ledger.2025.393

Issue

Vol. 10 (2025)

Section

Research Articles

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Copyright (c) 2025 Taghi Guliyev, Aysu Ahmadova

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