کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477641 | 930503 | 2005 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Arbitrage opportunities in the depositary receipts market: Myth or reality?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We analyze the price discrepancy between American depositary receipts (ADRs) and their corresponding underlying shares using a high frequency data set of French and American stocks. Albeit infrequent, it is shown that large deviations from the law of one price are present in the data and an arbitrage trading rule reveals that profits could have been made on these large disequilibria. We thus classify these markets as disintegrated and not fully efficient. An estimate of the minimum size necessary to make a price discrepancy profitable is provided and we propose this variable as a proxy for measuring the degree of efficiency displayed by the markets involved.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 15, Issue 5, December 2005, Pages 469-480
Journal: Journal of International Financial Markets, Institutions and Money - Volume 15, Issue 5, December 2005, Pages 469-480
نویسندگان
E. Dante Suarez,