Bitcoin-ETFs: A novel investment option amidst dicey global cryptocurrency landscape

Bitcoin exchange-traded funds (Bitcoin-ETFs) are gaining traction following their recent regularisation amid global crypto-market uncertainties. While earlier studies have addressed their nascent aspects, this study fills the gap in understanding the risk-return trade-off, interlinkages, and volatility dynamics of nine Bitcoin-ETFs and Bitcoin through generalised autoregressive conditional heteroscedasticity-in-mean (GARCH-in-Mean), autoregressive integrated moving average-Glosten-Jagannathan-Runkle-GARCH (ARIMA-GJR-GARCH), exponential GARCH (EGARCH) and wavelet analyses. Their estimates reveal that although these ETFs offer high return opportunities, they also exhibit significant volatility clustering, asymmetry behaviour, insignificant risk-return trade-offs, divergent volatility forecasts, and dynamic co-movement patterns with Bitcoin across different time-horizons influencing their hedging and diversification prospects. These results offer new insights into Bitcoin-ETFs challenging the view of them as one-size-fits-all investments and emphasising the importance of informed risk management over speculative intent while highlighting the requirement of their strategic positioning within a diversified portfolio. Moreover, as Bitcoin-ETFs progressively interact with traditional financial markets, these results could assist regulators to strengthen disclosure standards, enhance monitoring, and support targeted investor awareness initiatives.