Multi-Market Trading and Arbitrage
Smith School of Business, Queen's University
George Andrew Karolyi
Cornell University - Johnson Graduate School of Management
June 17, 2004
Journal of Financial Economics (JFE), Vol. 97, No. 1, July 2010
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.
Number of Pages in PDF File: 53
Keywords: International finance, multi-market trading, cross-listed stocks, arbitrage
JEL Classification: F30, G32, G15
Date posted: August 17, 2004 ; Last revised: July 12, 2010
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.375 seconds