Article ID Journal Published Year Pages File Type
963415 Journal of International Financial Markets, Institutions and Money 2013 16 Pages PDF
Abstract
► We find large intraday price deviation in emerging markets' depository receipts. ► A dynamic and accurate arbitrage identification procedure is employed. ► Arbitrage opportunities are identified and found to eventually disappear. ► We show that arbitrage opportunities disappear through real arbitrage trades. ► Arbitrageurs made considerable profits even in presence of limits to arbitrage.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The proof is in the pudding: Arbitrage is possible in limited emerging markets
Authors
, , ,