Stock-ADR Arbitrage: Microstructure Risk
Volume: 63, Pages: 101132 - 101132
Published: Nov 1, 2019
Abstract
This paper is the first to highlight that the stock-ADR arbitrage pair trading found by Alsayed and McGroarty (2012) is directly influenced by the market microstructure of ADRs. In Alsayed and McGroarty (2012) they are the first to demonstrate that arbitrage opportunities exist between stocks and their ADRs, through convergence pairs trading. Given that such arbitrage opportunities exist, we pose the question as to why such pair trades occur,...
Paper Details
Title
Stock-ADR Arbitrage: Microstructure Risk
Published Date
Nov 1, 2019
Volume
63
Pages
101132 - 101132
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