Abstract

http://ssrn.com/abstract=577004
 
 

References (66)



 
 

Citations (49)



 


 



Multi-Market Trading and Arbitrage


Louis Gagnon


Queen's University (Canada) - School of Business

George Andrew Karolyi


Cornell University - Johnson Graduate School of Management

June 17, 2004

Journal of Financial Economics (JFE), Vol. 97, No. 1, July 2010

Abstract:     
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

Accepted Paper Series





Download This Paper

Date posted: August 17, 2004 ; Last revised: July 12, 2010

Suggested Citation

Gagnon, Louis and Karolyi, George Andrew, Multi-Market Trading and Arbitrage (June 17, 2004). Journal of Financial Economics (JFE), Vol. 97, No. 1, July 2010. Available at SSRN: http://ssrn.com/abstract=577004

Contact Information

Louis Joseph Gagnon (Contact Author)
Queen's University (Canada) - School of Business ( email )
Kingston, Ontario K7L 3N6
Canada
613-533-6707 (Phone)
613-533-2321 (Fax)

George Andrew Karolyi
Cornell University - Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
Feedback to SSRN


Paper statistics
Abstract Views: 5,372
Downloads: 1,406
Download Rank: 6,550
References:  66
Citations:  49

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.484 seconds