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Keywords: Arbitrage
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Journal Articles
Enforcing the Law of One Price: Nonlinear Mean Reversion in the ADR Market
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2005) 31 (8): 1–17.
Published: 01 August 2005
...E. Dante Suarez This work presents evidence that cross‐isted stocks (ADRs) are traded in markets that are not completely integrated, and it is the presence of high frequency arbitrage activity that forces these stock pairs to be most commonly in relative equilibrium. A Threshold Autoregressive (TAR...
