Multi-market trading and arbitrage

被引：124
|
作者：
Gagnon, Louis [2 ]
Karolyi, G. Andrew [1 ]
机构：
[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA
[2] Queens Univ, Queens Sch Business, Kingston, ON K7L 3N6, Canada
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2010年 / 97卷 / 01期
关键词：
Multi-market trading; Cross-listed stocks; Idiosyncratic risk; Limits to arbitrage; COSTLY ARBITRAGE; CROSS-LISTINGS; STOCK RETURNS; HOME BIAS; LIQUIDITY; PRICE; RISK; INVESTMENT; LAW; EQUILIBRIUM;
D O I：
10.1016/j.jfineco.2010.03.005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We measure arbitrage opportunities by comparing the intraday prices and quotes of American Depositary Receipts (ADRs) and other types of cross-listed shares in U.S. markets with synchronous prices of their home-market shares on a currency-adjusted basis for a sample of 506 U.S. cross-listed stocks from 35 different countries. Deviations from price parity average an economically small 4.9 basis points, but they are volatile and can reach large extremes. Price parity deviations and their daily changes are positively related to proxies for holding costs that can impede arbitrage, even after controlling for transactions costs and foreign investment restrictions. (c) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：53 / 80
页数：28
相关论文
共 50 条
  • [1] Order Routing and Arbitrage Opportunities in a Multi-Market Trading Simulation
    Todd, Andrew
    Beling, Peter
    Scherer, William
    [J]. 2015 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (IEEE SSCI), 2015, : 1774 - 1777
  • [2] Multi-market trading in the Eurodollar futures market
    Tse Y.
    Bandyopadhyay P.
    [J]. Review of Quantitative Finance and Accounting, 2006, 26 (3) : 321 - 341
  • [3] Value of Multi-Market Trading for a Hydropower Producer
    Fodstad, Marte
    Aarlott, Mats Mathisen
    Midthun, Kjetil Trovik
    [J]. 2017 14TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM 17), 2017,
  • [4] Multi-market trading, price delay, and return predictability
    Xia, Chuanxin
    Yang, Nien-Tzu
    Lin, Chaonan
    Ko, Kuan-Cheng
    [J]. FINANCE RESEARCH LETTERS, 2021, 40
  • [5] A Multi-market Collaborative Trading Model for Load Aggregator
    Lv, Hao
    He, Yiming
    Hu, Linlin
    Chen, Siqi
    Ma, Runpeng
    Ma, Ninglu
    [J]. 2023 IEEE/IAS INDUSTRIAL AND COMMERCIAL POWER SYSTEM ASIA, I&CPS ASIA, 2023, : 1235 - 1240
  • [6] A Regulated Oligopoly Multi-Market Model for Trading Smart Data
    Sheng, Shang-Pin
    Liu, Yang
    Liu, Mingyan
    [J]. 2015 IEEE CONFERENCE ON COMPUTER COMMUNICATIONS WORKSHOPS (INFOCOM WKSHPS), 2015, : 510 - 515
  • [7] Efficient methods for computing investment strategies for multi-market commodity trading
    Hauskrecht, M
    Ortiz, L
    Tsochantaridis, I
    Upfal, E
    [J]. APPLIED ARTIFICIAL INTELLIGENCE, 2001, 15 (05) : 429 - 452
  • [8] Big Data Framework for Finding Patterns in Multi-market Trading Data
    Budhathoki, Daya Ram
    Dasgupta, Dipankar
    Jain, Pankaj
    [J]. BIG DATA - BIGDATA 2018, 2018, 10968 : 237 - 250
  • [9] Multi-stage Provincial Power Expansion Planning and Multi-market Trading Equilibrium
    Guangsheng Pan
    Zhongfan Gu
    Yuanyuan Sun
    Kaiqi Sun
    Wei Gu
    [J]. Journal of Modern Power Systems and Clean Energy, 2024, 12 (05) : 1652 - 1665
  • [10] Multi-Stage Provincial Power Expansion Planning and Multi-Market Trading Equilibrium
    Pan, Guangsheng
    Gu, Zhongfan
    Sun, Yuanyuan
    Sun, Kaiqi
    Gu, Wei
    [J]. JOURNAL OF MODERN POWER SYSTEMS AND CLEAN ENERGY, 2024, 12 (05) : 1652 - 1665
12345