Multi-market trading and arbitrage

被引：126

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

页码：53 / 80

页数：28

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