Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …

changes in financial intermediaries’ balance sheets for the supply of credit, liquidity and asset prices, and, consequently …

For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage … costs. This study also extends the literature of stock index arbitrage by utilizing intraday data to compute returns for … forward and reverse BIST 30 arbitrage once per minute for 2014 and 2015 futures contracts. These returns enable identification …

-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

I study how arbitrage affects liquidity by analyzing several billion trades in the AmericanDepositary Receipt (ADR …. Overall, these results suggest that arbitrage decreases price pressure and provides liquidity …. Impulse response functions estimated at 1-minute intervals indicate that a positive shock to arbitrage—simultaneous trades of …

. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns … respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers …