Intra-day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets
The authors have two primary objectives in this study. First, they examine the frequency of attaining simultaneous equilibrium on spot and forward foreign exchange markets and on domestic and foreign securities markets. Second, they measure the profitability of covered interest arbitrage and one-way arbitrage. The authors' empirical analysis has been conducted using real-time quotations. The empirical results indicate that the markets are efficient in the sense that profit opportunities from traditional covered interest arbitrage are rarely available and the frequency of attaining simultaneous market equilibrium is surprisingly low, thus opening the door for one-way arbitrage. Copyright 1992 by American Finance Association.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 47 (1992)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://www.afajof.org/|
More information through EDIRC
|Order Information:||Web: http://www.afajof.org/membership/join.asp|