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Multi-market trading and arbitrage

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  • Gagnon, Louis
  • Andrew Karolyi, G.

Abstract

We measure arbitrage opportunities by comparing the intraday prices and quotes of American Depositary Receipts (ADRs) and other types of cross-listed shares in U.S. markets with synchronous prices of their home-market shares on a currency-adjusted basis for a sample of 506 U.S. cross-listed stocks from 35 different countries. Deviations from price parity average an economically small 4.9 basis points, but they are volatile and can reach large extremes. Price parity deviations and their daily changes are positively related to proxies for holding costs that can impede arbitrage, even after controlling for transactions costs and foreign investment restrictions.

Suggested Citation

  • Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
    • Handle: RePEc:eee:jfinec:v:97:y:2010:i:1:p:53-80
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    Keywords

    Multi-market trading Cross-listed stocks Idiosyncratic risk Limits to arbitrage;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General

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