Published study · Finance

No Cash Flows, New Owners: Spot Bitcoin ETFs and the Origins of Co-movement

Did the January 2024 approval of US spot Bitcoin ETFs change the co-movement between Bitcoin returns and US equity returns?

Checked by E2ER. All 69 files unchanged since the run, 346 table values traced, 33 of 33 references found. Details

Read the paper (PDF) Dossier c46711b0dc073e96

Verify Reproduce Build on it Reuse

Published 2026-09-24 · MIT · fingerprint 11388dde6a2d

What was checked

✓ Checked by E2ER

Checked by E2ER

✓The study's fingerprint matches its list of files (version 3b91f0e)
✓69 of 69 files downloaded from GitHub

2026-09-23 19:38 UTC

Reported by the author's own check

✓integrity 69 files hash-verified against provenance.json; 346 table cell(s) traced in the derivation graph
✓numbers 346 table cell(s) trace, 0 critical mismatches
✓tables 13 table(s) reproduce byte-identically from the sidecars; 2 not renderer-produced (rawcontrast.tex, sumstats.tex)
✓spec estimation implements the declared identification
✓citations 33 cite key(s) resolve in refs.bib; snapshot: 33 verified, 0 unverifiable at run time

e2er verify at publish, offline

files with a fingerprint

346

table values traced to result files

33 / 33

references resolved to a DOI

unresolved discrepancy

Unresolved: the paper shows -6 where figure_spec.json.figures[4].series[0].y[151] holds -5.964 (major).

Not in this object yet: fingerprints of the raw input data and a record of which library passages were read. The bundle holds the data dictionary and summary statistics.

How it was produced

Inputs

2 data files data_dictionary.json, data_summary.md
33 references

Process

template Empirical · single pass
16 specialists (recorded)
model claude-sonnet-4-5 via claude_code
governance full

Evidence

12 result files
346 table values traced
5 figures from a spec
estimation linked to its code

Outputs

21 paper files
3 replication files

From the study's own records of how each file was produced.

Checks inside the package

✓Numbers: 346 of 347 table values match the executed code's output (results/number_verification.json).
✓Citations: 33 of 33 cited references resolve (reviews/citation_integrity.json).

Review panel

Weighted score 6.14 of 10; verdict major revision (reviews/review_aggregation.json).

Reviewer specialist	Score
mechanism reviewer	5.6
technical reviewer	6.5
literature reviewer	5.9
writing reviewer	7
data reviewer	6
identification reviewer	6

Contributors

People

·Björn Hanneke · github:bhanneke · orcid:0009-0000-7466-9581 (conceptualization, investigation)

AI

18 recorded calls to claude-sonnet-4-5, 900,327 tokens, no per-token cost (subscription backend).

Per specialist

Specialist	Calls	Tokens
strategist:decide	1	4,452
idea_developer	1	29,003
literature_scanner	1	47,835
identification_strategist	1	31,790
data_architect	1	53,510
data_analyst	1	66,660
econometrics_specialist	1	155,053
paper_drafter	2	148,106
abstract_writer	1	13,262
mechanism_reviewer	1	17,517
technical_reviewer	1	63,241
literature_reviewer	1	21,079
writing_reviewer	1	49,250
data_reviewer	1	46,867
identification_reviewer	1	43,357
patch_revisor	1	41,308
replication_packager	1	68,037

What it was built with

Each template, specialist and skill has its own page and its own authors. Use any of them in your next run; their authors are credited.

Recorded by the run.

Skills (39)

Economist Persona Researcher Persona `identification_spec.json` — Identification Strategist Sidecar Judge and Examiner Designs Natural Experiments: Taxonomy and Evaluation Sensitivity Analysis for Causal Inference Allium queries via the gatekeeper CLI Allium Developer-tier API (when SQL Explorer is unavailable)Blockchain Data Skill Data Cleaning Best Practices for Economics Research Crypto & DeFi Data Skill Figure Specification Format FRED via `e2er-data fred`Querying the local data warehouse with `e2er-data query``summary_statistics.json` — Data Analyst Sidecar Table Specification Format Yahoo Finance via `e2er-data yfinance`Difference-in-Differences `estimation_results.json` — Econometrics Specialist Sidecar Financial Event Studies Instrumental Variables Estimation Panel Data Methods Market Microstructure Anti-Slop Writing Standards Creative Research Ideation Identification Strategy Reasoning Novelty and Contribution Positioning Consistency Check Data Review Checklist for Empirical Economics Referee Simulation Technical Review Academic Writing Review Checklist Synthesis Worker — Context Builder Mode Replication Package Writing Abstracts for Economics Papers Citing Numbers by JSON Source Key Paper Structure for Empirical Research Personal Academic Writing Style Scoped Revision — `patch_revisor` Output Contract

Reproduce

Download the study exactly as it was published and check it on your own computer. No account or API key is needed.

Commands

git clone https://github.com/bhanneke/E2ER-project && cd E2ER-project && git checkout 6e1ecda

e2er verify examples/showcase

cd examples/showcase/code && python run_estimation.py

Browse the files on GitHub

Build on it

Start your own study from this one. When you publish it, name this study as its starting point, and its authors are credited on both pages.

Command

e2er publish ./your-bundle --owner <you> --project <name> --derived-from bhanneke/spot-bitcoin-etf-comovement

Your study then appears under "Reused in" on this page. How publishing works

Derived from

No recorded parent object.

Reused in

No other study builds on this one yet.

Literature (33) · cited in the paper, each resolved against a bibliographic database

✓barberis2003style · 10.1016/s0304-405x(03)00064-3 · openalex
✓barberis2004comovement · 10.1016/j.jfineco.2004.04.003 · openalex
✓khatib2026from · 10.1016/j.iref.2026.105664 · openalex
✓glosten2020etf · 10.1287/mnsc.2019.3427 · openalex
✓israeli2017is · 10.1007/s11142-017-9400-8 · openalex
✓pindyck1993the · 10.2307/2118460 · openalex
✓vijh1994sp · 10.1093/rfs/7.1.215 · openalex
✓boyer2011stylerelated · 10.1111/j.1540-6261.2010.01633.x · openalex
✓greenwood2007excess · 10.1093/rfs/hhm052 · openalex
✓froot1999how · 10.1016/s0304-405x(99)00020-3 · openalex
✓shleifer1986do · 10.1111/j.1540-6261.1986.tb04518.x · openalex
✓harris1986price · 10.1111/j.1540-6261.1986.tb04550.x · openalex
✓chen2004the · 10.1111/j.1540-6261.2004.00683.x · openalex
✓da2017exchange · 10.1111/eufm.12137 · openalex
✓bendavid2014do · 10.1111/jofi.12727 · openalex
✓brown2020etf · 10.1093/rof/rfaa027 · openalex
✓baltussen2018indexing · 10.1016/j.jfineco.2018.07.016 · openalex
✓coles2022on · 10.1016/j.jfineco.2022.05.007 · openalex
✓bendavid2017exchangetraded · 10.1146/annurev-financial-110716-032538 · openalex
✓liu2020risks · 10.1093/rfs/hhaa113 · openalex
✓liu2022common · 10.1111/jofi.13119 · openalex
✓biais2023equilibrium · 10.1111/jofi.13206 · openalex
✓hu2019cryptocurrencies · 10.1111/fima.12300 · openalex
✓makarov2019trading · 10.1016/j.jfineco.2019.07.001 · openalex
✓griffin2020is · 10.1111/jofi.12903 · openalex
✓bouri2016on · 10.1016/j.frl.2016.09.025 · openalex
✓baur2017bitcoin · 10.1016/j.intfin.2017.12.004 · openalex
✓corbet2018exploring · 10.1016/j.econlet.2018.01.004 · openalex
✓conlon2020safe · 10.1016/j.frl.2020.101607 · openalex
✓corbet2020the · 10.1016/j.frl.2020.101554 · openalex
✓guliyev2025from · 10.5195/ledger.2025.393 · openalex
✓tang2026the · 10.61173/mpgy2h45 · openalex
✓pucher2026falsenews · openalex

Data and outputs (38 files with fingerprints)

data/data_dictionary.json 3b54e0ba6277

data/data_summary.md 285377de56fb

paper/abstract.tex 4e6faf86b4dd

paper/paper.pdf 617fd8cf24fe

paper/paper.tex ab1fe8fd227b

paper/refs.bib d89feb69a8af

paper/tables/....tex c9c6965c53d2

paper/tables/complementary.tex 2e11bb3df83f

paper/tables/dcc.tex c5cf3c457511

paper/tables/decomposition.tex edbfe758b6a6

paper/tables/event_study.tex 8b6cf0676628

paper/tables/inference.tex 0fe45e9bae57

paper/tables/macro_controls.tex 8e03a3d98679

paper/tables/main.tex aaf092406d1a

paper/tables/placebos.tex eb91445050f4

paper/tables/power.tex 8fd84ca590ec

paper/tables/rawcontrast.tex 74d2a4bd73b7

paper/tables/returns_ddd.tex 7792118a7d1d

paper/tables/returns_interacted.tex e83f90c39c44

paper/tables/robustness_sample.tex 1ea01ae71bb9

paper/tables/robustness_spec.tex f0ed35962833

paper/tables/robustness_windows.tex 4b1da8e1dcba

paper/tables/sumstats.tex 3b59824c28b2

replication/audit_log.csv ec4c2f5d007c

replication/data_queries.sql 22f31e523707

replication/estimation.py 4e1399297fee

results/estimation_results.json 4765d2a27bc3

results/figure_spec.json aa1ff6949533

results/figures/fig_etf_cumulative_turnover.pdf cdfbc49436d3

results/figures/fig_gbtc_discount.pdf 19cd37379116

results/figures/fig_prepost_correlation_change.pdf 38920ec9850d

results/figures/fig_rolling_btc_spy.pdf 9fff37efacde

results/figures/fig_rolling_overlay_controls.pdf 835a4d0b916d

results/number_verification.json 2639f85d7bf0

results/robustness_results.json b77d26e60370

results/summary_statistics.json aaaf7134d633

results/table_render_report.json cbb8c5f159eb

results/table_spec.json 71f3739e3a8e

Trace a claim

Select an underlined element to see the result file, key or passage it comes from.

Showcase run, examples/showcase/paper/paper.tex · governance: full

The differential shift in the Fisher-z correlation is , estimated on coin-months. That a regime change in crypto–equity integration occurred around the spot ETF has been documented .

Literature library entry, ~/.e2er/corpus.db

, providing direct evidence of wash trading.

Select an underlined element to see where it comes from.

Description

Data model

Discipline: Finance
Method family: Empirical (quantitative)
Design: Difference-in-differences
Research stage: not specified
Contributors: Björn Hanneke (Conceptualization, Investigation)
Usage: not used in published research yet
Source: Published on E2ER · examples/showcase · @6e1ecda
Record: run:bhanneke/spot-bitcoin-etf-comovement · JSON

Solid tags are declared by the source or mapped from its terms; dashed tags are inferred by a published rule. Hover a tag for its provenance.

Knowledge contributions

Written into the paper · planned

One reference for E2ER, linking to the study's dossier; the people behind every part are listed under Contributors.

This paper was produced with E2ER. The templates, specialists, skills and connectors it used, their authors and their exact versions are listed in its dossier (e2er.org/d/c46711b0dc073e96).

Contributor	Building blocks	Roles
E2ER contributors	Empirical; idea_developer; literature_scanner; identification_strategist; data_architect; data_analyst; econometrics_specialist; paper_drafter; abstract_writer; mechanism_reviewer; technical_reviewer; literature_reviewer; writing_reviewer; data_reviewer; identification_reviewer; patch_revisor; replication_packager; Economist Persona; Researcher Persona; `identification_spec.json` — Identification Strategist Sidecar; Judge and Examiner Designs; Natural Experiments: Taxonomy and Evaluation; Sensitivity Analysis for Causal Inference; Allium queries via the gatekeeper CLI; Allium Developer-tier API (when SQL Explorer is unavailable); Blockchain Data Skill; Data Cleaning Best Practices for Economics Research; Crypto & DeFi Data Skill; Figure Specification Format; FRED via `e2er-data fred`; Querying the local data warehouse with `e2er-data query`; `summary_statistics.json` — Data Analyst Sidecar; Table Specification Format; Yahoo Finance via `e2er-data yfinance`; Difference-in-Differences; `estimation_results.json` — Econometrics Specialist Sidecar; Financial Event Studies; Instrumental Variables Estimation; Panel Data Methods; Market Microstructure; Anti-Slop Writing Standards; Creative Research Ideation; Identification Strategy Reasoning; Novelty and Contribution Positioning; Consistency Check; Data Review Checklist for Empirical Economics; Referee Simulation; Technical Review; Academic Writing Review Checklist; Synthesis Worker — Context Builder Mode; Replication Package; Writing Abstracts for Economics Papers; Citing Numbers by JSON Source Key; Paper Structure for Empirical Research; Personal Academic Writing Style; Scoped Revision — `patch_revisor` Output Contract	Software, Methodology

\section*{Knowledge contributions}
This paper was produced with E2ER~\citep{e2er-c46711b0dc073e96}. The templates, specialists, skills and connectors it used, their authors and their exact versions are listed in its dossier.

@misc{e2er-c46711b0dc073e96,
  title        = {E2ER dossier for "No Cash Flows, New Owners: Spot Bitcoin ETFs and the Origins of Co-movement"},
  author       = {{E2ER}},
  year         = {2026},
  howpublished = {\url{https://e2er.org/d/c46711b0dc073e96}},
  note         = {Workflow, templates, specialists, skills, connectors and models used, pinned by content hash. Dossier sha256:c46711b0dc073e9649d1ca81458e8a1961028c75e7e19b14fac8f5bce6d5ed2d}
}