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| Tekijä: | Hanousek, J. Nemecek, L. |
| Otsikko: | Mispricing and lasting arbitrage between parallel markets in the Czech Republic |
| Lehti: | European Journal of Finance
2002 : MAR, VOL. 8:1, p. 46-69 |
| Asiasana: | PRICING ARBITRAGE MARKETS CZECH REPUBLIC |
| Kieli: | eng |
| Tiivistelmä: | In this paper an explicit model of price convergence (with transaction costs) is introduced, in which price differences are studied using levels of arbitrage activity. For the empirical analysis two parallel markets in the Czech Republic are used - the Prague Stock Exchange (PSE) and the RMS (over-the-counter system). In particular, the degree of arbitrage activity is studied for different segments of the PSE and the evolution of arbitrage in the early history of these emerging markets. The empirical results provide evidence of market linkage for actively traded stocks. A significant relationship is found between the segment of the market to which a given firm belongs and the estimated level of arbitrage trading. |
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