Large market shocks and abnormal closed-end-fund price behaviour

Fuertes, Ana-Marı́a; Thomas, Dylan C.

doi:10.1016/j.jbankfin.2005.10.008

Cited by 12 publications

(6 citation statements)

References 18 publications

(31 reference statements)

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“…The majority of the mean returns of 40-day estimation window are not significantly different from zero. 6 We also conducted robustness checks using two alternative estimation methods: one uses unadjusted mean returns (zero mean adjusted) and the other uses adjusted variance that take into account non-zero covariance among events in estimation periods as that of Fuertes and Thomas (2006). Both methods yield similar results to ours with the exception of some instances of reduced significance from the latter methodology, which may be due to the known event dates inherent in the event window.…”

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confidence: 76%

OPEC announcements and their effects on crude oil prices

Lin

Tamvakis

2010

Energy Policy

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confidence: 76%

OPEC announcements and their effects on crude oil prices

Lin

Tamvakis

2010

Energy Policy

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“…However, no study has come closer than the present one to meeting the stringent data requirements discussed above and the literature has been dormant for the last two decades or so after the launch of electronic foreign exchange platforms. See also the recent research on triangular arbitrage by Lyons and Moore (2005); on convertible bond arbitrage by Hutchinson and Gallagher (2008); on the law of one price in international goods markets by Sarno et al (2004), Sarno and Valente (2006) and Nikolaou (2008); and on closed-end fund arbitrage by Kim and Lee (2007) and Fuertes and Thomas (2006). See Sarno (2005) for an overview of recent research on international parity conditions.…”

Section: The Lop From the View Point Of Fund Owners And Raisersmentioning

confidence: 99%

Does the law of one price hold in international financial markets? Evidence from tick data

Akram¹,

Rime

Sarno

2009

Journal of Banking & Finance

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JEL classification: F31 F41 G14 G15Keywords: Law of one price One-way arbitrage Foreign exchange microstructure a b s t r a c t This paper investigates the validity of the law of one price (LOP) in international financial markets by examining the frequency, size and duration of inter-market price differentials for borrowing and lending services ('one-way arbitrage'). Using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, we find that the LOP holds on average, but numerous economically significant violations of the LOP arise. The duration of these violations is high enough to make it worthwhile searching for one-way arbitrage opportunities in order to minimize borrowing costs and/or maximize earnings on given funds. We also document that such opportunities decline with the pace of the market and increase with market volatility.

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“…9 Joseph (2003) finds significant conditional ARCH effects contained in the monthly data. Fuertes and Thomas (2006) argue that the prices of UK closed-end funds overreact to their relative net asset values of the funds and the revisions to pre-shock values are slower for market-wide shocks compared with fund specific shocks. 10 Residual correction method assumes that a true correction can be made when heteroscedasticity and autocorrection exist in the variance/covariance matrix of the estimations.…”

Section: Introductionmentioning

confidence: 99%