Can time difference deter arbitrage opportunities?
The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the examin...
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| Veröffentlicht in: | Journal of asset management 2013-04, Vol.14 (2), p.79-94 |
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| container_end_page | 94 |
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| container_title | Journal of asset management |
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| creator | Bogomolov, Timofei Liu, Lixian Kalev, Petko S |
| description | The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the examined companies into three groups based on the regression analysis of the spreads between log prices adjusted for exchange rates. Our results indicate that deviations from the long-run mean can generate economically significant profits at relatively low levels of risk from trading cross-listed securities across moderately efficient markets such as Hong Kong, New Zealand, Indonesia. |
| doi_str_mv | 10.1057/jam.2013.7 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 1470-8272 |
| ispartof | Journal of asset management, 2013-04, Vol.14 (2), p.79-94 |
| issn | 1470-8272 1479-179X |
| language | eng |
| recordid | cdi_proquest_journals_1356844480 |
| source | Springer Nature - Complete Springer Journals |
| subjects | American Depositary Receipts American dollar Arbitrage Capital markets Economics and Finance Finance Financial Services Foreign exchange rates Original Article Prices Profits Risk Management Securities analysis Spread Stock exchanges Stock prices Studies Volatility |
| title | Can time difference deter arbitrage opportunities? |
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