Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 方伟明教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jbankfin.2009.11.008 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/16WOS source URL
其它资讯
摘要We study the profitability of Covered Interest Parity (CIP) arbitrage violations and their relationship with market liquidity and credit risk using a novel and unique dataset of tick-by-tick firm quotes for all financial instruments involved in the arbitrage strategy. The empirical analysis shows that positive CIP arbitrage deviations include a compensation for liquidity and credit risk. Once these risk premia are taken into account, small arbitrage profits only accrue to traders who are able to negotiate low trading costs. The results are robust to stale pricing and the nonsynchronous trading occurring in the markets involved in the arbitrage strategy. (C) 2009 Elsevier B.V. All rights reserved.
着者Fong WM, Valente G, Fung JKW
期刊名称Journal of Banking and Finance
出版年份2010
月份5
日期1
卷号34
期次5
出版社Elsevier
页次1098 - 1107
国际标準期刊号0378-4266
电子国际标準期刊号1872-6372
语言英式英语
关键词Arbitrage; Covered interest rate parity; Exchange rates; Foreign exchange microstructure
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
