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

Carmen Ansotegui, Aliaa Bassiouny, Eskandar Tooma

Producción científica: Artículo en revista indizadaArtículorevisión exhaustiva

11 Citas (Scopus)

Resumen

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 originalInglés
Páginas (desde-hasta)342-357
Número de páginas16
PublicaciónJournal of International Financial Markets, Institutions and Money
Volumen23
N.º1
DOI
EstadoPublicada - feb 2013
Publicado de forma externa

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