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

Carmen Ansotegui, Aliaa Bassiouny, Eskandar Tooma

Research output: Indexed journal article Articlepeer-review

11 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)342-357
Number of pages16
JournalJournal of International Financial Markets, Institutions and Money
Issue number1
Publication statusPublished - Feb 2013
Externally publishedYes


  • Arbitrage
  • Depository receipts
  • Emerging markets
  • Multi-market trading
  • Transaction costs


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