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

Number of Access:151（2025-09-07 12:27 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/11094/98231

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Title	An experimental analysis on cross-asset arbitrage opportunity and the law of one price
Creator	NRID 1000000966608 1000000966608 CreatorName Duan, Jieyi
Creator	NRID 1000070400611 1000070400611 ORCID 0000-0003-3127-690X 0000-0003-3127-690X researchmap permalink nhanaki nhanaki Scopus Author ID 16233221700 16233221700 CreatorName Hanaki, Nobuyuki
Subject	The law of one price
	Arbitrage opportunities across different assets
	Price discrepancy
	Asset Pricing
JEL	C90
JEL	D84
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.
Publisher	The Institute of Social and Economic Research, Osaka University
Source Title	Institute of Social and Economic Research Discussion Papers
Volume (Issue)	1257
Page	1-32
Date of Issued	2024-09
Language	English
Handle URL	https://hdl.handle.net/11094/98231
PISSN	0473453X
eISSN	24350982
Relation.references	URI https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2024/DP1257.pdf
Access Rights	metadata only access
Category	ディスカッション／ワーキング・ペーパー DP/WP
Category	Institute of Social and Economic Research Discussion Papers

Resource Type	technical report
Local Type	DP/WP
DCMI Type	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	English
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/static/resources/docs/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	English
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/static/resources/docs/dp/2024/DP1257.pdf

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

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