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

María Carmen Ansotegui Olcoz, Aliaa IbrahimElsayed Bassiouny Mohamed, Eskandar Tooma

Producció científica: Document de treball

Resum

We investigate the existence of arbitrage trades using two-year intraday data for 16 Argentinean and Egyptian depository receipts and their underlying stock. We find large intraday deviation from parity, hypothesized to be due to trading barriers that limit arbitrage. Our novel arbitrage identification procedure, relying on volumes and precise dynamic measures of trading costs, indicates that 10% and 15% of Argentinean and Egyptian matched trades qualify 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 originalAnglès
Lloc de publicacióBarcelona, ES
Nombre de pàgines27
Estat de la publicacióPublicada - 1 de febr. 2012

Sèrie de publicacions

NomESADE working paper
Núm.79796
ISSN (imprès)2014-8135
NomESADE working paper
Núm.79796
ISSN (imprès)2014-8135
NomESADE working paper
Núm.79796
ISSN (imprès)2014-8135
NomESADE working paper
Núm.79796
ISSN (imprès)2014-8135

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