Speculative efficiency and news-driven short-run price adjustment between bitcoin futures and spot markets

Abstract

This study examines speculative efficiency and news-driven price adjustment between cryptocurrency futures and spot markets before and after Bitcoin Spot ETF approval in January 2024. Using four datasets covering Bitcoin and Ethereum, we estimate Error Correction Models with five news sentiment categories across two market periods. Results confirm long-run cointegration throughout all datasets. After ETF approval, the short-run price correction mechanism becomes less effective, Bitcoin's news sensitivity shifts from geopolitical to monetary policy signals, and news categories are found to influence the speed of price adjustment. Pre-ETF, futures adjust significantly faster than spot. Overall, ETF approval altered both how price gaps are corrected and which news matters in cryptocurrency markets.