Intraday indirect arbitrage between European index ETFs
Second Author's Department
Management Department
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https://doi.org/10.1016/j.irfa.2021.101737
Document Type
Research Article
Publication Title
International Review of Financial Analysis
Publication Date
5-1-2021
doi
10.1016/j.irfa.2021.101737
Abstract
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.
Recommended Citation
APA Citation
Bassiouny, A.
&
Tooma, E.
(2021). Intraday indirect arbitrage between European index ETFs. International Review of Financial Analysis, 75,
10.1016/j.irfa.2021.101737
https://fount.aucegypt.edu/faculty_journal_articles/2474
MLA Citation
Bassiouny, Aliaa, et al.
"Intraday indirect arbitrage between European index ETFs." International Review of Financial Analysis, vol. 75, 2021,
https://fount.aucegypt.edu/faculty_journal_articles/2474