Virginia has executed a man convicted of killing two young girls and their parents in their home on New Year's Day more than 11 years ago.

Ricky Gray, 39, was pronounced dead at 9.42pm local time following a lethal injection at the Greensville Correctional Centre in Jarratt, Virginia.

Asked if he had any last words, he responded: "Nope."

Gray was sentenced to death for killing nine-year-old Stella Harvey and her four-year-old sister Ruby.

He was also convicted of killing their parents, Bryan and Kathryn Harvey. The family was attacked when their front door was open as they prepared to hold a holiday party.

All were found in their burning home in Richmond, bound, beaten, stabbed and with their throats cut.

The family was getting ready to host friends for dinner when Gray and his nephew, Ray Dandridge, were looking for a home to rob and spotted the open front door.

Court records show the men tied up the family in the basement and Gray slashed their throats and hit their heads with a hammer before setting their home on fire and fleeing with a computer, a wedding ring and a basket of biscuits.

The well-known family's killing rocked Virginia's capital city and was followed by the murder of another Richmond family less than a week later.

Kathryn Harvey was co-owner of a popular Richmond toy store, the World of Mirth, and Bryan Harvey was a guitarist and singer for a rock duo, House of Freaks.

Gray also confessed to participating in the killing of 21-year-old Ashley Baskerville, her mother Mary Baskerville-Tucker and stepfather Percyell Tucker days after the Harvey deaths, but was not tried in that case.

Gray and Dandridge said Ashley Baskerville had served as a lookout for them during the Harvey killings.

Dandridge pleaded guilty to the Tucker-Baskerville killings and is serving a life sentence.

Elizabeth Peiffer, a lawyer for Gray, said while his death may provide a measure of retribution to some, it also took "from the world a man trying to make amends and make life better for others".

Gray was the first Virginia inmate to be executed since convicted serial killer Alfredo Prieto received a lethal injection in October 2015.

It leaves just six inmates on Virginia's death row. No other execution dates have been set.

Gray's lawyers had asked Virginia Governor Terry McAuliffe to spare his life, saying his actions were the result of drug use aimed at numbing years of sexual abuse by his older brother when he was a child.

Gray says he was high on PCP at the time of the Harvey murders and does not remember much.

Mr McAuliffe said he found no reason to intervene, adding he believed Gray received a fair trial.

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