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

M. Ansotegui Olcoz; Aliaa IbrahimElsayed Bassiouny Mohamed; Eskandar Tooma

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

M. Ansotegui Olcoz, Aliaa IbrahimElsayed Bassiouny Mohamed, Eskandar Tooma

Esade

Research output: Working paper

Abstract

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.

Original language	English
Place of Publication	Barcelona, ES
Number of pages	27
Publication status	Published - 1 Feb 2012

Publication series

Name	ESADE working paper
No.	79796
ISSN (Print)	2014-8135

Name	ESADE working paper
No.	79796
ISSN (Print)	2014-8135

Name	ESADE working paper
No.	79796
ISSN (Print)	2014-8135

Name	ESADE working paper
No.	79796
ISSN (Print)	2014-8135

Cite this

@techreport{0c67bfea3d2548cea608459b9f22d488,

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

abstract = "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.",

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

year = "2012",

month = feb,

day = "1",

language = "English",

series = "ESADE working paper",

number = "79796",

type = "WorkingPaper",

}

TY - UNPB

T1 - The proof is in the pudding: Arbitrage is possible in limited emerging markets

AU - Ansotegui Olcoz, M.

AU - Bassiouny Mohamed, Aliaa IbrahimElsayed

AU - Tooma, Eskandar

PY - 2012/2/1

Y1 - 2012/2/1

N2 - 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.

AB - 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.

M3 - Working paper

T3 - ESADE working paper

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

CY - Barcelona, ES

ER -

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

Abstract

Publication series

Fingerprint

Cite this