The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre-COVID and COVID periods
International Journal of Finance and Economics
; 2023.
Article
in English
| Scopus | ID: covidwho-2298409
ABSTRACT
The study examines the effects of market conditions, volatility and liquidity shocks on the arbitrage profits during pre-COVID and COVID periods. The study uses a conditional quantile regression and finds no significant difference in the impact of market conditions on the arbitrage profits during pre-COVID and COVID crisis periods. The increase in volatility combined with low liquidity during the COVID period makes arbitrage non-viable. However, the decline in volatility during the COVID period encourages investors to initiate arbitrage. The results are useful to fund managers and market analysts to develop suitable trading strategies and stock market regulators to take necessary steps to improve price discovery mechanisms and market efficiency. © 2023 John Wiley & Sons Ltd.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
Language:
English
Journal:
International Journal of Finance and Economics
Year:
2023
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS