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 …

affects market efficiency, liquidity and arbitrage opportunities. The study examines trading behaviors of large and small …

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 …

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 …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …

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 …

This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … market liquidity between securities linked by arbitrage. I test these hypotheses on Canadian stocks cross-listed in the … arbitrage arguments, I show how arbitrageurs' market and limit orders create co-movement across markets of bid prices, ask …