Do spot ethereum ETFs change macroeconomic price discovery? Hourly evidence from U.S. inflation announcements

Abstract

Spot Ether exchange-traded funds (ETFs) gave regulated investors direct access to the second-largest cryptocurrency in July 2024. We ask whether this form of institutionalization changed the speed and state dependence of Ethereum's response to scheduled macroeconomic news. We align 84 U.S. CPI releases from 2019 to March 2026 with hourly prices, lagged on-chain network activity, and daily spot-ETF flows, and estimate intraday event-study regressions in which the inflation-surprise response is conditioned on the network state. The primary outcome is Ethereum's four-hour return relative to Bitcoin, which differences out the dominant common cryptocurrency component; a rolling market-model abnormal return provides an alternative benchmark. Before the launch, network activity does not materially condition relative inflation pricing. In the ETF era the interaction turns negative, with a pooled change of − 1.13 percentage points (HC3 p = 0.026) that survives wild-bootstrap inference, a max-T adjustment across five horizons, leave-one-announcement diagnostics, and a placebo on pre-announcement returns. The same pattern appears in market-model abnormal returns. The change is concentrated in the four-hour window: it is absent in the release hour and dissipates by 24 hours. Within the ETF era, higher lagged ETF-flow intensity further strengthens the negative response to inflation surprises, although this mechanism test rests on only 18 post-launch announcements. Institutionalization therefore appears to reorganize short-horizon price discovery in digital assets rather than to raise unconditional macro sensitivity, a distinction that daily-frequency designs cannot detect.