Limits to Arbitrage: The Case of Single Stock Futures and Spot Prices
Published By: Indira Gandhi Institute of Development Research | Published Date: May , 2015Market frictions limit arbitrage, but these frictions affect different stocks differently. Using intraday data on a liquid single stock futures and spot market, we examine the arbitrage efficiency of these two markets. We find evidence of significant cross- sectional variation in the size and asymmetricity of
no-arbitrage bands
Author(s): Nidhi Aggarwal | Posted on: May 02, 2016 | Views()