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Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks

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  • Ghadhab, Imen
Abstract
The aim of this study is to investigate intraday liquidity patterns around the occurrence of an arbitrage opportunity in markets for cross-listed stocks. By implementing an event study on high frequency intraday data, we find that liquidity is higher when an arbitrage opportunity event occurs. The Granger causality test show unidirectional and even bidirectional causation between price movement and liquidity measures, indicating that price discrepancy may be a result of a particular state of liquidity. We also find that informed trading is higher when arbitrage opportunity occurs, and even increases when the number of events increases during the day.

Suggested Citation

  • Ghadhab, Imen, 2018. "Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 1-10.
    • Handle: RePEc:eee:mulfin:v:46:y:2018:i:c:p:1-10
    DOI: 10.1016/j.mulfin.2018.07.002
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    More about this item

    Keywords

    Cross-listing; Liquidity; Arbitrage opportunity; Event study; Informed trading;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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