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Negative conversion premium
Huang, Zhijian; Xu, Li - In: The Journal of finance and data science : JFDS 7 (2021), pp. 1-21
We document frequent occurrences of negative conversion premium (NCP) events in the Chinese convertible bond market, when the bond is convertible and the underlying stock can be freely sold. This implies that when an NCP event occurs, existing stock holders can earn a riskless profit through a...
Persistent link: https://www.econbiz.de/10013162647
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Arbitrage Opportunities for Cross-Listed Stocks : Evidence from Russia
Gorbatikov, E. - 2016
We study alternative arbitrage strategies for stocks of Russian companies and the corresponding depository receipts … issued in European exchanges. We describe schemes of arbitrage strategies with and without conversion, estimate all related … transaction costs and compare the net returns. We find significantly profitable arbitrage opportunities. The long-short strategies …
Persistent link: https://www.econbiz.de/10012983816
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International High-Frequency Arbitrage for Cross-Listed Stocks
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2021
We explore latency arbitrage activities with a new arbitrage strategy that we test with high-frequency data during the … first six months of 2019. We study the profitability of mean-reverting arbitrage activities of 74 cross-listed stocks … involving three exchanges in Canada and the United States. Our arbitrage strategy is a hybrid between triangular arbitrage and …
Persistent link: https://www.econbiz.de/10013218630
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Institutional investors and equity prices : information, behavioral bias and arbitrage
Han, Bing; Kong, Dongmin - 2017
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
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The Profitability of Lead-Lag Arbitrage at High-Frequency
Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022
from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …
Persistent link: https://www.econbiz.de/10014239339
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Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries
Wölfle, Marco - 2007
This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many...
Persistent link: https://www.econbiz.de/10010297968
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Market efficiency and international linkage of stock prices: An analysis with high-frequency data
Tsutsui, Yoshiro; Hirayama, Kenjiro - 2004
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10010332406
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Market efficiency and international linkage of stock prices : an analysis with high-frequency data
Tsutsui, Yoshirō (contributor);  … - 2004 - [Elektronische Ressource]
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10002428035
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Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
Ardliansyah, Rifqi - 2014
The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...
Persistent link: https://www.econbiz.de/10013065264
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Intra-Day Anomalies in the Relationship between U.S. Futures and European Stock Indexes
Innocenti, Alessandro - 2019
coming from U.S. affects indexes price sensitivity providing arbitrage opportunities, due to the imperfect international …
Persistent link: https://www.econbiz.de/10012905968