IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v18y2011i3p257-261.html
   My bibliography  Save this article

The behaviour of individual traders and the persistence of arbitrage trading

Author

Listed:
  • Sang Buhm Hahn
  • Seungyeon Won

Abstract

This 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.

Suggested Citation

  • Sang Buhm Hahn & Seungyeon Won, 2011. "The behaviour of individual traders and the persistence of arbitrage trading," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 257-261.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:3:p:257-261
    DOI: 10.1080/13504850903559526
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850903559526&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504850903559526?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:18:y:2011:i:3:p:257-261. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.