Intraday indirect arbitrage between European index ETFs
Second Author's Department
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International Review of Financial Analysis
We investigate intraday arbitrage between close substitute Exchange-traded Funds (ETFs) on two major European indices: FTSE100 and DAX30. Using intraday data, we establish arbitrage links between our ETFs through cointegration and error correction models. We then apply an arbitrage identification procedure on approximately 18 million intraday matched quotes, resulting in 1.95% and 0.2% of observations on the ETF pairs for FTSE100 and DAX30 as arbitrage opportunities. They occur on specific days in our sample, disappear relatively quickly, and result in economically insignificant profits from arbitrage trades within the mispricing window, indicating overall price efficiency.
(2021). Intraday indirect arbitrage between European index ETFs. International Review of Financial Analysis, 75,
Bassiouny, Aliaa, et al.
"Intraday indirect arbitrage between European index ETFs." International Review of Financial Analysis, vol. 75, 2021,