Roll, Richard; Schwartz, Eduardo S; Subrahmanyam, Avanidhar - Anderson Graduate School of Management, University of … - 2004
Since arbitrage involves trading, it is potentially impeded by market frictions and costs. We study whether stock market liquidity is related to the efficacy of arbitrage. Specifically, we examine the joint time-series of the NYSE Composite index futures basis and aggregate liquidity on the NYSE...