Can time difference deter arbitrage opportunities?

Timofei Bogomolov (), Lixian Liu and Petko S Kalev
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Timofei Bogomolov: University of South Australia

Journal of Asset Management, 2013, vol. 14, issue 2, No 2, 79-94

Abstract: Abstract The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the examined companies into three groups based on the regression analysis of the spreads between log prices adjusted for exchange rates. Our results indicate that deviations from the long-run mean can generate economically significant profits at relatively low levels of risk from trading cross-listed securities across moderately efficient markets such as Hong Kong, New Zealand, Indonesia.

Keywords: arbitrage; cross-listed stocks; American Depositary Receipts; non-overlapping trading; law of one price (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1057/jam.2013.7

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