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| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Limits to Arbitrage when Market Participation Is Restricted |
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| Institution | University of Zurich |
| Series Name | Working paper series / Institute for Empirical Research in Economics |
| Number | No. 176 |
| ISSN | 1424-0459 |
| Date | 2003 |
| Abstract Text | There is an extensive literature claiming that it is often di*cultnto make use of arbitrage opportunities in *nancial markets. Thisnpaper provides a new reason why existing arbitrage opportunitiesnmight not be seized. We consider a world with short-lived securities,nno short-selling constraints and no transaction costs. We show thatnto exploit all existing arbitrage opportunities, traders should paynattention to all *nancial markets simultaneously. It gives a generalnresult stating that failure to do so will leave some arbitrage oppor-ntunies unexploited with probability one. |
| Official URL | http://www.econ.uzh.ch/wp.html |
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