Strategic arbitrage in segmented markets

• 成果类型: Article
• 署名作者: Bryzgalova, Svetlana; Pavlova, Anna; Sikorskaya, Taisiya
• 署名单位: University of London; London Business School; Centre for Economic Policy Research - UK; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104008
• 发表日期: 2025
• 关键词: arbitrage; Repeated game; Entry cost; Dividend play; tacit collusion; Regulatory effectiveness; options

摘要

We propose a model in which arbitrageurs act strategically in markets with entry costs. In a repeated game, arbitrageurs choose to specialize in some markets, which leads to the highest combined profits. We present evidence consistent with our theory from the options market, in which suboptimally unexercised options create arbitrage opportunities for intermediaries. We use transaction-level data to identify the corresponding arbitrage trades. Consistent with the model, only 57% of these opportunities attract entry by arbitrageurs. Of those that do, 49% attract only one arbitrageur. Finally, we detail how market participants circumvent a regulation devised to curtail this arbitrage strategy.