JOURNAL ARTICLE

The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods.

  • Published In: International Journal of Finance & Economics, 2024, v. 29, n. 3. P. 3007 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Lakshmi, VDMV; Sisodia, Garima; Joseph, Anto; Tiwari, Aviral Kumar 3 of 3

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. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:International Journal of Finance & Economics. 2024/07, Vol. 29, Issue 3, p3007
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2024
  • ISSN:1076-9307
  • DOI:10.1002/ijfe.2818
  • Accession Number:178279294
  • Copyright Statement:Copyright of International Journal of Finance & Economics is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Looking to go deeper into this topic? Look for more articles on EBSCOhost.