本研究探討美國比特幣現貨 ETF 上市，對加密貨幣永續合約市場與現貨市場之間動態連結結構的影響。研究以幣安 BTC/USDT 永續合約 2022 年至 2025 年的高頻溢價指數，建構衡量永續合約日內定價穩定性的指標（溢價指數日內標準差，PSTD），並以 2024 年 1 月首批美國比特幣現貨 ETF 上市為外生事件。方法上，採用 Roll, Schwartz, and Subrahmanyam (2007)的兩階段架構：第一階段以調整回歸剝離日曆效應、星期與月份季節性及資金費率事件等確定性成分；第二階段以調整後殘差進行向量自迴歸、Granger 因果檢定與動態條件相關（DCC-GARCH）分析，並比較 ETF 上市前後的差異。
實證結果顯示：第一，ETF 上市後永續合約的日內定價穩定性顯著提升，而現貨流動性的水準則無顯著變化。第二，兩市場之間的動態關係發生結構性轉變——由上市前的彼此互不領先，轉變為上市後永續市場單向領先現貨市場；此一結果在多項穩健性檢驗下維持一致，且原始序列所呈現的上市前因果關係於調整後消失，證實該轉變為真實的動態關係而非偽相關。第三，兩市場的同期條件相關微弱且穩定、未因事件改變，顯示 ETF 重塑的是資訊傳導的方向而非同期波動共動。本研究認為，此組發現與「現貨 ETF 降低期現套利限制、強化套利傳導」的機制相符，並補充了既有文獻較少觸及的面向：現貨 ETF 對永續與現貨兩市場間動態連結結構的影響。

This study examines how the introduction of U.S. spot Bitcoin ETFs affects the dynamic linkage between the cryptocurrency perpetual futures market and the spot market. Using high-frequency premium-index data for the Binance BTC/USDT perpetual contract from 2022 to 2025, we construct a measure of intraday pricing stability of the perpetual contract—the intraday standard deviation of the premium index (PSTD)—and treat the January 2024 launch of the first U.S. spot Bitcoin ETFs as an exogenous event. Methodologically, we adopt the two-stage framework of Roll, Schwartz, and Subrahmanyam (2007): the first stage uses adjustment regressions to remove deterministic components such as calendar and seasonal effects and funding-rate events; the second stage applies vector autoregression, Granger causality tests, and dynamic conditional correlation (DCC-GARCH) analysis to the adjusted residuals, comparing the periods before and after the ETF introduction.
The empirical results show, first, that the intraday pricing stability of the perpetual contract improves significantly after the ETF introduction, whereas the level of spot liquidity exhibits no significant change. Second, the dynamic relationship between the two markets undergoes a structural shift: from mutual non-leading before the introduction to the perpetual market unilaterally leading the spot market afterward. This finding remains consistent across multiple robustness checks, and the pre-event causality observed in the raw series disappears after adjustment, confirming that the shift reflects a genuine dynamic relationship rather than a spurious correlation. Third, the contemporaneous conditional correlation between the two markets is weak and stable, unchanged by the event, indicating that the ETF reshapes the direction of information transmission rather than contemporaneous volatility co-movement. We argue that these findings are consistent with a mechanism in which spot ETFs reduce limits to arbitrage and strengthen arbitrage transmission between the futures and spot markets.

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