taxpayers from potentially destabilizing regulatory arbitrage, central bankers need to develop statistical procedures for …

Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant … cross-sectional variation in the size and asymmetricity of no-arbitrage bands. To the extent that market frictions affect …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity …