and fundamentals. Speculation ; Limited Arbitrage ; Hedging ; Exchange Rate Disconnect …

for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign … pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the … former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick …

movements. The redefinition of the MSCI world equity index in December 2000 provides an ideal natural experiment identifying …

. Our results are robust after controlling for transaction costs, reversals and alternative limits to arbitrage. The global …