The Dynamics of Arbitrage: Evidence from the Yen Forward Markets
نویسندگان
چکیده
(a) Jonathan A. Batten, Department of Finance, Hong Kong University of Science & Technology, Sai Kung, Hong Hong, Phone: ++852-2358-7688, Email: [email protected]. (b) Wai-Sum Chan, Department of Finance, The Chinese University of Hong Kong, 426D, Leung Kau Kui Building, New Territories, Hong Kong, Phone: +852 2609 7715, Email: [email protected]. (c) Hon-Lun Chung, School of Accounting and Finance, Office M819, Li Ka Shing Tower, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, Phone: +852 2766 7029, Email: [email protected] (d) Peter G. Szilagyi, Judge Business School, University of Cambridge, Trumpington Street, Cambridge, CB2 1AG, United Kingdom., Phone: +44(0) 1223 764 026, Email: [email protected]
منابع مشابه
Investigating the Yen/dmark Rate: Arbitrage Opportunities and a Case for Asymmetry
Derivations from the triangular equality are observed on foreign exchange markets when the respective rates are sampled with very high frequencies. At a rst glance a standard error correction model seems appropriate to explain the evolution of FX{returns depending on recent returns and on deviations from the triangular equality. The paper examines the validity of the common error correction mod...
متن کاملOne-Way Arbitrage-Based Interest Parity: An Application of the Fletcher-Taylor Approach in Short-Date Markets
This study is motivated by two major considerations. First, the Fletcher and Taylor (1996) approach has yet to be applied to short-date markets to assess the diminishing role of transaction costs in explaining the deviations of observed forward foreign exchange prices from interest parity forward prices. Second, the role of transaction costs in one-way arbitrage-based interest parity has not be...
متن کاملThe Dynamics of Financially Constrained Arbitrage
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that the dynamics of arbitrage activity ar...
متن کاملCarry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets*
This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX-market specific volatility. ...
متن کاملبررسی روندحافظه بلندمدت در بازارهای جهانی نفت
The characterization of memory effects in crude oil markets is an interesting issue that has attracted the attention of researchers from different disciplines, from econophysics to more classical economics. The importance of the problem relies in the fact that the departure from uncorrelated behavior would imply the presence of not-random effects which, in principle, can be exploited for arbitr...
متن کامل