Limits to Arbitrage: The Case of Single Stock Futures and Spot Prices

Published By: Indira Gandhi Institute of Development Research | Published Date: May , 2015

Market 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()

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