Can time difference deter arbitrage opportunities?
dc.contributor.author | Bogomolov, T. | |
dc.contributor.author | Liu, Li Xian | |
dc.contributor.author | Kalev, P. | |
dc.date.accessioned | 2017-01-30T11:59:02Z | |
dc.date.available | 2017-01-30T11:59:02Z | |
dc.date.created | 2015-10-07T03:43:46Z | |
dc.date.issued | 2013 | |
dc.identifier.citation | Bogomolov, T. and Liu, L.X. and Kalev, P. 2013. Can time difference deter arbitrage opportunities? Journal of Asset Management. 14 (2): pp. 79-94. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/16998 | |
dc.identifier.doi | 10.1057/jam.2013.7 | |
dc.description.abstract |
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. | |
dc.publisher | Palgrave Macmillan Journals | |
dc.subject | Arbitrage | |
dc.subject | American Depositary Receipt (ADR) | |
dc.subject | Cross listing | |
dc.subject | Pairs trading | |
dc.title | Can time difference deter arbitrage opportunities? | |
dc.type | Journal Article | |
dcterms.source.volume | 14 | |
dcterms.source.number | 2 | |
dcterms.source.startPage | 79 | |
dcterms.source.endPage | 94 | |
dcterms.source.issn | 1470-8272 | |
dcterms.source.title | Journal of Asset Management | |
curtin.department | Curtin Graduate School of Business | |
curtin.accessStatus | Fulltext not available |