Spot Bitcoin ETF Approval and the Intraday Risk Profile of Bitcoin: A Difference-in-Differences Analysis

Abstract

Spot Bitcoin ETFs, approved in January 2024, trade only during NYSE hours but track an asset that trades around the clock. We study whether this mismatch affects Bitcoin's intraday risk profile using a symmetric one-year difference-in-differences design on hourly Coinbase data. The aggregate US-hour effect is null, but hour-specific and sub-hourly decomposition reveals a volatility spike concentrated in the first 30 minutes of ETF trading (9:30-10:00 ET), the only window surviving multiple testing correction. The pre-open half-hour (9:00-9:30) is insignificant, a pattern more consistent with order flow at the open than with anticipatory positioning. Quantile analysis shows left-tail deepening at the 5th and 10th percentiles of US-hour returns while the median is unaffected, and both tails widen at the opening window. Trading volume surges at both NYSE open and close, but only the open generates a volatility spike, and an ETH/USD comparison on the same exchange, which lacked comparable ETF exposure, shows no similar pattern, together supporting a BTC-ETF-specific interpretation. The findings suggest that clock-bound financial instruments can reshape when risk concentrates in continuous markets.