Limits of arbitrage and their impact on market efficiency: Evidence from China
(2023)
Journal Article
Chen, J., Haboub, A., & Khan, A. (2024). Limits of arbitrage and their impact on market efficiency: Evidence from China. Global Finance Journal, 59, Article 100916. https://doi.org/10.1016/j.gfj.2023.100916
This paper examines the impact of limits of arbitrage (LOA) on market efficiency by considering a large sample of Chinese stocks. Intraday market efficiency is measured using two widely used measures: the intraday return predictability measure and th... Read More about Limits of arbitrage and their impact on market efficiency: Evidence from China.