Template-type: ReDif-Paper 1.0
Author-Name: Hens Thorsten
Author-Name: Herings P. Jean-Jacques
Author-Name: Predtetchinskii Arkadi
Author-workplace-name: METEOR
Title: Limits to Arbitrage when Market Participation Is Restricted
Abstract: There is an extensive litarature claiming that it is often difficult to make use of arbitrage opportunities in financial markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. We consider a world with short-lived securities, no short-selling constraints and no transaction costs. We show that to exploit all existing arbitrage opportunities, traders should pay attention to all financial markets simultaneously. It gives a general result stating that failure to do so will leave some arbitrage opportunities unexploited with probability one.
Keywords: microeconomics ; 
Series: Research Memoranda
Creation-Date: 2003
Number: 061
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:7f4b60ee-88e3-469d-b7a4-c5a6009f804a/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 216511
Handle: RePEc:unm:umamet:2003061