Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd; Sanusi, … - In: Journal of Economic Studies 44 (2017) 4, pp. 518-539
Purpose The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock …. Practical implications The arbitrage and hedging opportunities between stock and credit markets are industry dependent and vary … arbitrage, but not for hedging. Originality/value The paper, for the first time, employs time-frequency approach to assess the …