Bogomolov, Timofei, Liu, Lixian, and Kalev, Petko S. (2013) Can time difference deter arbitrage opportunities? Journal of Asset Management, 14 (2). pp. 79-94.

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Abstract

The study examines the possibility of arbitrage profits for 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and New York Stock Exchange in the form of American Depositary Receipt (ADR) without overlapped trading hours. We propose a method to segregate markets into three groups with different levels of market integration and efficiency based on the regression analysis of the spreads between log prices adjusted for exchange rates. Our results indicate that deviation from the long run mean can generate economically significant profits at relatively low level of risk from trading cross-listed securities from moderately segmented markets such as Hong Kong, New Zealand, Indonesia.

Item ID:	52964
Item Type:	Article (Research - C1)
ISSN:	1479-179X
Keywords:	arbitrage; cross-listed stocks; American Depositary Receipts; non-overlapping trading; law of one price
Date Deposited:	23 Jul 2018 05:13
FoR Codes:	15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management @ 100%
SEO Codes:	90 COMMERCIAL SERVICES AND TOURISM > 9001 Financial Services > 900199 Financial Services not elsewhere classified @ 100%
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