Multi-market trading and arbitrage

• 成果类型: Article
• 署名作者: Gagnon, Louis; Karolyi, G. Andrew
• 署名单位: Cornell University; Queens University - Canada
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.03.005
• 发表日期: 2010
• 页码: 53-80
• 关键词: Multi-market trading; Cross-listed stocks; idiosyncratic risk; Limits to arbitrage

摘要

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. (c) 2010 Elsevier B.V. All rights reserved.