Covered interest arbitrage profits: The role of liquidity and credit risk

Journal of Banking and Finance

Volumn 34, Issue 5, 2010, Pages 1098-1107

  Fong, Wai Ming ^a   Valente, Giorgio ^b   Fung, Joseph K W ^c  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Arbitrage; Covered interest rate parity; Exchange rates; Foreign exchange microstructure

Indexed keywords

EID: 77649188158     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.11.008     Document Type: Article

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