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Nonlinear limits to arbitrage

Published:2022-02-28 Issue:6 Volume:42 Page:1084-1113
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Chen Jingzhi¹^ORCID,Cai Charlie X.²^ORCID,Faff Robert³,Shin Yongcheol⁴

Affiliation:

1. Sun Yat‐Sen Business School Sun Yat‐Sen University Guangzhou China

2. University of Liverpool Management School University of Liverpool Liverpool UK

3. Bond Business School Bond University Gold Coast Australia

4. Department of Economics and Related Studies University of York York UK

Funder

Economic and Social Research Council

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22320

Reference42 articles.

1. Financial Intermediaries and the Cross-Section of Asset Returns

2. Liquidity and leverage

3. Smart money, dumb money, and capital market anomalies

4. Capital Market Efficiency and Arbitrage Efficacy

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures;Asia-Pacific Financial Markets;2024-06-05

2. Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model;Computational Economics;2024-05-13

3. Spot–Futures Price Adjustments in the Nikkei 225: Linear or Smooth Transition? Financial Centre Leadership or Home Bias?;Journal of Risk and Financial Management;2023-02-12

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