Overdahl, James; McMillan, Henry - In: The Journal of Business 71 (1998) 1, pp. 27-53
In, 1990, the New York Stock Exchange amended its Rule 80A to restrict stock index arbitrage on days of large price movements. The authors find that Rule 80A significantly curtails--or 'collars'--index arbitrage activity. In spite of this curtailment in index arbitrage volume, they find that...
