The behaviour of individual traders and the persistence of arbitrage trading
AbstractThis article analyses the influence of individual traders on the persistence of arbitrage opportunities, using futures market data from the Korea Composite Stock Price Index 200. The empirical results show that individual traders traded towards increasing arbitrage opportunities unlike other types of traders. This study helps explain the reason why arbitrage opportunities persist even when arbitrage trading is executed in the real world. According to our empirical results, arbitrage opportunities can persist if the behaviour of individual traders regarding arbitrage opportunities overwhelms other traders who are against arbitrage opportunities. This is not fully explained by previous studies that attributed the persistence of arbitrage opportunities to the limit to arbitrage. In this context, this study suggests that two separate arguments need to be combined for explaining arbitrage trading in the real world, namely studies of arbitrage trading and the behavioural approach.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 18 (2011)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.