Does the law of one price hold in international financial markets? Evidence from tick data

Journal of Banking and Finance

Volumn 33, Issue 10, 2009, Pages 1741-1754

  Akram, Q Farooq ^a   Rime, Dagfinn ^a,b   Sarno, Lucio ^c,d  

^a NORGES BANK   (Norway)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^c CITY UNIVERSITY   (United Kingdom)

^d CEPR   (United Kingdom)

Author keywords

Foreign exchange microstructure; Law of one price; One way arbitrage

Indexed keywords

EID: 70249099959     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.10.012     Document Type: Article

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