This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …

cross-sectional variation of the CDS-bond basis in each regime. Using a model with several limit-to-arbitrage factors, we … validate that the negative basis can be explained by liquidity risk in both the bond and CDS markets, together with … negativity persistence during the post-crisis period is mainly related to a significant decrease in basis arbitrage activity …

This article examines whether mean reversion in stock index basis changes is actually induced by arbitrage trading …, using intra-day arbitrage trade data. The empirical evidence suggests that arbitrage trading alone cannot account for all of … consistent with mean reversion in liquidity and partial adjustment in the cash market. The behavior of arbitrageurs appears …

of no-arbitrage bands is explained by the first principal component. Changes in funding liquidity is a key factor that …Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant …

market returns. Low liquidity of Russian depository receipts on European exchanges is a significant barrier to arbitrage …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 …