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Intraday analysis of market integration

Hupperets, Erik; Menkveld, Albert J. - 2000

Persistent link: https://www.econbiz.de/10001467482

Intraday leads and lags with index-futures arbitrage

Martens, Martin; Kofman, Paul - 1995

Persistent link: https://www.econbiz.de/10000909095

SETS, arbitrage activity, and stock price dynamics

Taylor, Nicholas (contributor) - 1999

Persistent link: https://www.econbiz.de/10001364933

One-way arbitrage-based interest parity : an application of the Fletcher-Taylor approach in short-date markets

Chang, Rosita P.; Lee, Sang-Hyop; Reid, Sean F.; Rhee, … - 2002

Persistent link: https://www.econbiz.de/10001718695

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an … implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …

Persistent link: https://www.econbiz.de/10010259626

Market liquidity and exposure of hedge funds

Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011

Persistent link: https://www.econbiz.de/10009720730

Capital structure arbitrage revisited

Wojtowicz, Marcin - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

Persistent link: https://www.econbiz.de/10010415520

Intraday analysis of market integration : dutch blue chips traded in Amsterdam and New York

Hupperets, Erik; Menkveld, Albert J. - 2000

Market integration is studied for Dutch stocks cross-listed at the NYSE.Trading starts in Amsterdam and ends in New York with a one-hour overlap.Both markets are not perfectly integrated in that they can be viewed as onemarket with the well-documented U-shape in volatility, volume and...

Persistent link: https://www.econbiz.de/10011303320

Inherent efficiency, security markets, and the pricing of investment strategies

Zou, Liang - 2000

markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are …

Persistent link: https://www.econbiz.de/10011304380

SETS, arbitrage activity, and stock price dynamics

Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999

This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...

Persistent link: https://www.econbiz.de/10011300557