IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v56y2020i6p1402-1422.html
   My bibliography  Save this article

Asymmetric Arbitrage Opportunities for Cross-Listed Stocks: Evidence from Russia

Author

Listed:
  • Еvgenii Gorbatikov
  • Victoria Dobrynskaya

Abstract

We study alternative arbitrage strategies for stocks of Russian companies and the corresponding depositary receipts issued in European exchanges (‘mirror trades’). We provide evidence for significant arbitrage opportunities in Russia, and the potential returns are higher when the depository receipts are underpriced relative to stocks on the domestic market. Such asymmetry in arbitrage returns may be a consequence of money expatriation from Russia using these ‘mirror trades’ even when they are unprofitable, creating further mispricing. We also show that the long-short ‘buy-and-hold’ strategies, although being risky, generate returns which are about twice as high as the returns to the conversion strategies. Although the arbitrage returns have declined over time, they are still positive and generally higher than the market returns. Low liquidity of Russian depositary receipts on European exchanges is a significant barrier to arbitrage.

Suggested Citation

  • Еvgenii Gorbatikov & Victoria Dobrynskaya, 2020. "Asymmetric Arbitrage Opportunities for Cross-Listed Stocks: Evidence from Russia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(6), pages 1402-1422, May.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1402-1422
    DOI: 10.1080/1540496X.2018.1564276
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2018.1564276
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2018.1564276?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:56:y:2020:i:6:p:1402-1422. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.