Toxic Arbitrage

被引：80

作者：

Foucault, Thierry ^{[1
]}

Kozhan, Roman ^{[2
]}

Tham, Wing Wah ^{[3
]}

机构：

[1] HEC, Paris, France

[2] Univ Warwick, Warwick Business Sch, Coventry, W Midlands, England

[3] Univ New South Wales, Sch Banking & Finance, Sydney, NSW, Australia

来源：

REVIEW OF FINANCIAL STUDIES | 2017年 / 30卷 / 04期

关键词：

FOREIGN-EXCHANGE; PRICE DISCOVERY; INDEX ARBITRAGE; LIQUIDITY; MARKET; STOCK; EQUILIBRIUM; INFORMATION; FLOW;

D O I：

10.1093/rfs/hhw103

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Short-lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and faster responses to these opportunities should impair liquidity. We provide supporting evidence using data on triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and arbitrageurs' relative speed are higher. Overall, our findings suggest that the price efficiency gain of high-frequency arbitrage comes at the cost of increased adverse selection risk.

引用

页码：1053 / 1094

页数：42

共 59 条

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