Can time difference deter arbitrage opportunities?
The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the examin...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Palgrave Macmillan Journals
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/16998 |
| _version_ | 1848749336947589120 |
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| author | Bogomolov, T. Liu, Li Xian Kalev, P. |
| author_facet | Bogomolov, T. Liu, Li Xian Kalev, P. |
| author_sort | Bogomolov, T. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the examined companies into three groups based on the regression analysis of the spreads between log prices adjusted for exchange rates. Our results indicate that deviations from the long-run mean can generate economically significant profits at relatively low levels of risk from trading cross-listed securities across moderately efficient markets such as Hong Kong, New Zealand, Indonesia. |
| first_indexed | 2025-11-14T07:19:20Z |
| format | Journal Article |
| id | curtin-20.500.11937-16998 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:19:20Z |
| publishDate | 2013 |
| publisher | Palgrave Macmillan Journals |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-169982017-09-13T15:43:06Z Can time difference deter arbitrage opportunities? Bogomolov, T. Liu, Li Xian Kalev, P. Arbitrage American Depositary Receipt (ADR) Cross listing Pairs trading The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the examined companies into three groups based on the regression analysis of the spreads between log prices adjusted for exchange rates. Our results indicate that deviations from the long-run mean can generate economically significant profits at relatively low levels of risk from trading cross-listed securities across moderately efficient markets such as Hong Kong, New Zealand, Indonesia. 2013 Journal Article http://hdl.handle.net/20.500.11937/16998 10.1057/jam.2013.7 Palgrave Macmillan Journals restricted |
| spellingShingle | Arbitrage American Depositary Receipt (ADR) Cross listing Pairs trading Bogomolov, T. Liu, Li Xian Kalev, P. Can time difference deter arbitrage opportunities? |
| title | Can time difference deter arbitrage opportunities? |
| title_full | Can time difference deter arbitrage opportunities? |
| title_fullStr | Can time difference deter arbitrage opportunities? |
| title_full_unstemmed | Can time difference deter arbitrage opportunities? |
| title_short | Can time difference deter arbitrage opportunities? |
| title_sort | can time difference deter arbitrage opportunities? |
| topic | Arbitrage American Depositary Receipt (ADR) Cross listing Pairs trading |
| url | http://hdl.handle.net/20.500.11937/16998 |