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dc.contributor.authorBogomolov, T.
dc.contributor.authorLiu, Li Xian
dc.contributor.authorKalev, P.
dc.date.accessioned2017-01-30T11:59:02Z
dc.date.available2017-01-30T11:59:02Z
dc.date.created2015-10-07T03:43:46Z
dc.date.issued2013
dc.identifier.citationBogomolov, 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.urihttp://hdl.handle.net/20.500.11937/16998
dc.identifier.doi10.1057/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.publisherPalgrave Macmillan Journals
dc.subjectArbitrage
dc.subjectAmerican Depositary Receipt (ADR)
dc.subjectCross listing
dc.subjectPairs trading
dc.titleCan time difference deter arbitrage opportunities?
dc.typeJournal Article
dcterms.source.volume14
dcterms.source.number2
dcterms.source.startPage79
dcterms.source.endPage94
dcterms.source.issn1470-8272
dcterms.source.titleJournal of Asset Management
curtin.departmentCurtin Graduate School of Business
curtin.accessStatusFulltext not available


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