The proof is in the pudding: Arbitrage is possible in limited emerging markets

M. Ansotegui Olcoz; Aliaa Bassiouny; Eskandar Tooma

doi:10.1016/j.intfin.2012.11.001

The proof is in the pudding: Arbitrage is possible in limited emerging markets

M. Ansotegui Olcoz
, Aliaa Bassiouny^*
, Eskandar Tooma

^*Autor corresponent d’aquest treball

Producció científica: Article en revista indexada › Article › Avaluat per experts

13 Cites (Scopus)

Resum

We investigate whether arbitrage trades exist in emerging markets with trading barriers. Using two-year intraday data for 16 Argentinean and Egyptian depository receipts and their underlying stock, we find large intraday deviations from parity. We extend the standard arbitrage identification procedure to account for volumes and precise dynamic measures of trading costs, resulting in 9.81% and 15.32% of Argentinean and Egyptian matched trades identified as arbitrage opportunities, which we show, result in real profitable arbitrage trades. Arbitrage profits of USD 1.8 million from Argentinean and USD 1.2 million from Egyptian depository receipts were estimated over the sample period.

Idioma original	Anglès
Pàgines (de-a)	342-357
Nombre de pàgines	16
Revista	Journal of International Financial Markets, Institutions and Money
Volum	23
Número	1
DOIs	https://doi.org/10.1016/j.intfin.2012.11.001
Estat de la publicació	Publicada - de febr. 2013
Publicat externament	Sí

Accés al document

10.1016/j.intfin.2012.11.001

Altres arxius i enllaços

Link to publication in Scopus

Com citar-ho

@article{140cfcc056fe46d8ba96e3ced9b7befa,

title = "The proof is in the pudding: Arbitrage is possible in limited emerging markets",

abstract = "We investigate whether arbitrage trades exist in emerging markets with trading barriers. Using two-year intraday data for 16 Argentinean and Egyptian depository receipts and their underlying stock, we find large intraday deviations from parity. We extend the standard arbitrage identification procedure to account for volumes and precise dynamic measures of trading costs, resulting in 9.81\% and 15.32\% of Argentinean and Egyptian matched trades identified as arbitrage opportunities, which we show, result in real profitable arbitrage trades. Arbitrage profits of USD 1.8 million from Argentinean and USD 1.2 million from Egyptian depository receipts were estimated over the sample period.",

keywords = "Arbitrage, Depository receipts, Emerging markets, Multi-market trading, Transaction costs",

author = "\{Ansotegui Olcoz\}, M. and Aliaa Bassiouny and Eskandar Tooma",

note = "Funding Information: Carmen Ansotegui holds a degree in Business Administration from Universidad de Zaragoza, a Master in Economic Theory and a PhD in Financial Economics from University of Pennsylvania. She has been lecturer at the Department of Finance Management and Control of ESADE, undertaking research and teaching activities. Her areas of interest include stock market pricing patterns, derivatives, valuation and their use for market risk management and credit risk. Current research activities focus on credit risk, mainly the project Merito, financed by the Spanish Ministry of Technology. ",

year = "2013",

month = feb,

doi = "10.1016/j.intfin.2012.11.001",

language = "English",

volume = "23",

pages = "342--357",

journal = "Journal of International Financial Markets, Institutions and Money",

issn = "1042-4431",

publisher = "Elsevier B.V.",

number = "1",

}

TY - JOUR

T1 - The proof is in the pudding

T2 - Arbitrage is possible in limited emerging markets

AU - Ansotegui Olcoz, M.

AU - Bassiouny, Aliaa

AU - Tooma, Eskandar

N1 - Funding Information: Carmen Ansotegui holds a degree in Business Administration from Universidad de Zaragoza, a Master in Economic Theory and a PhD in Financial Economics from University of Pennsylvania. She has been lecturer at the Department of Finance Management and Control of ESADE, undertaking research and teaching activities. Her areas of interest include stock market pricing patterns, derivatives, valuation and their use for market risk management and credit risk. Current research activities focus on credit risk, mainly the project Merito, financed by the Spanish Ministry of Technology.

PY - 2013/2

Y1 - 2013/2

N2 - We investigate whether arbitrage trades exist in emerging markets with trading barriers. Using two-year intraday data for 16 Argentinean and Egyptian depository receipts and their underlying stock, we find large intraday deviations from parity. We extend the standard arbitrage identification procedure to account for volumes and precise dynamic measures of trading costs, resulting in 9.81% and 15.32% of Argentinean and Egyptian matched trades identified as arbitrage opportunities, which we show, result in real profitable arbitrage trades. Arbitrage profits of USD 1.8 million from Argentinean and USD 1.2 million from Egyptian depository receipts were estimated over the sample period.

AB - We investigate whether arbitrage trades exist in emerging markets with trading barriers. Using two-year intraday data for 16 Argentinean and Egyptian depository receipts and their underlying stock, we find large intraday deviations from parity. We extend the standard arbitrage identification procedure to account for volumes and precise dynamic measures of trading costs, resulting in 9.81% and 15.32% of Argentinean and Egyptian matched trades identified as arbitrage opportunities, which we show, result in real profitable arbitrage trades. Arbitrage profits of USD 1.8 million from Argentinean and USD 1.2 million from Egyptian depository receipts were estimated over the sample period.

KW - Arbitrage

KW - Depository receipts

KW - Emerging markets

KW - Multi-market trading

KW - Transaction costs

UR - https://www.scopus.com/pages/publications/84870357742

U2 - 10.1016/j.intfin.2012.11.001

DO - 10.1016/j.intfin.2012.11.001

M3 - Article

AN - SCOPUS:84870357742

SN - 1042-4431

VL - 23

SP - 342

EP - 357

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

IS - 1

ER -

The proof is in the pudding: Arbitrage is possible in limited emerging markets

Resum

Accés al document

Altres arxius i enllaços

Fingerprint

Com citar-ho