An experimental analysis on cross-asset arbitrage opportunity and the law of one price

Duan, Jieyi; Hanaki, Nobuyuki

An experimental analysis on cross-asset arbitrage opportunity and the law of one price

Duan, Jieyi; Hanaki, Nobuyuki

Institute of Social and Economic Research Discussion Papers, 2024, 1257, 1-32

アクセス数:25件（2025-04-26 10:02 集計）

固定URL: https://hdl.handle.net/11094/98231

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タイトル	An experimental analysis on cross-asset arbitrage opportunity and the law of one price
著者	NRID 1000000966608 1000000966608 著者名 Duan, Jieyi
著者	NRID 1000070400611 1000070400611 ORCID 0000-0003-3127-690X 0000-0003-3127-690X researchmap permalink nhanaki nhanaki Scopus Author ID 16233221700 16233221700 著者名 Hanaki, Nobuyuki
キーワード等	The law of one price
	Arbitrage opportunities across different assets
	Price discrepancy
	Asset Pricing
JEL分類コード (JEL)	C90
JEL分類コード (JEL)	D84
抄録	This study experimentally investigates the impact of the lack of arbitrage opportunities across different assets on the realization of the law of one price.Our experiment is based on the framework established by Charness and Neugebauer (2019) where participants, acting as traders, are involved in transactions with two different types of assets. An increase in the magnitude of price discrepancies and fundamental mispricing are observed when traders are unable to engage in arbitrage between different assets. The presence of opportunities for cross-asset arbitrage typically prompts traders to pay closer attention to the pricing of an alternative asset during transactions, which effectively reduces the extent of price discrepancies and mispricing.
出版者	The Institute of Social and Economic Research, Osaka University
収録物名	Institute of Social and Economic Research Discussion Papers
巻(号)	1257
ページ	1-32
刊行年月	2024-09
言語	英語
ハンドルURL	https://hdl.handle.net/11094/98231
PISSN	0473453X
eISSN	24350982
関連情報 (references)	URI https://www.iser.osaka-u.ac.jp/library/dp/2024/DP1257.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers. 2024, 1257, p. 1-32
DC.title	An experimental analysis on cross-asset arbitrage opportunity and the law of one price
DC.creator	Duan, Jieyi
DC.creator	Hanaki, Nobuyuki
DC.publisher	The Institute of Social and Economic Research, Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2024-09
DC.relation' scheme='DCTERMS.URI	https://www.iser.osaka-u.ac.jp/library/dp/2024/DP1257.pdf
DC.subject	The law of one price
	Arbitrage opportunities across different assets
	Price discrepancy
	Asset Pricing
DCTERMS.abstract	This study experimentally investigates the impact of the lack of arbitrage opportunities across different assets on the realization of the law of one price.Our experiment is based on the framework established by Charness and Neugebauer (2019) where participants, acting as traders, are involved in transactions with two different types of assets. An increase in the magnitude of price discrepancies and fundamental mispricing are observed when traders are unable to engage in arbitrage between different assets. The presence of opportunities for cross-asset arbitrage typically prompts traders to pay closer attention to the pricing of an alternative asset during transactions, which effectively reduces the extent of price discrepancies and mispricing.
DC.format	98231
citation_title	An experimental analysis on cross-asset arbitrage opportunity and the law of one price
citation_author	Duan, Jieyi
citation_author	Hanaki, Nobuyuki
citation_publisher	The Institute of Social and Economic Research, Osaka University
citation_language	英語
citation_date	2024-09
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	1257
citation_firstpage	1
citation_lastpage	32
citation_public_url	https://hdl.handle.net/11094/98231
citation_abstract_html_url	https://www.iser.osaka-u.ac.jp/library/dp/2024/DP1257.pdf

An experimental analysis on cross-asset arbitrage opportunity and the law of one price

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