Volltext herunterladen
(1.224 MB)
Zitationshinweis
Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-69060-6
Export für Ihre Literaturverwaltung
Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets
[Arbeitspapier]
Körperschaftlicher Herausgeber
Institut für Höhere Studien (IHS), Wien
Abstract This paper applies recently developed procedures to monitor and date so-called “financial market dislocations”, defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate triplets... mehr
This paper applies recently developed procedures to monitor and date so-called “financial market dislocations”, defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention on and importance of mispricing in the market for cryptocurrencies, we include the cryptocurrency Bitcoin in addition to fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only traditional fiat currencies are concerned, but document significant deviations from triangular arbitrage parities in the newer markets for Bitcoin. We confirm the importance of our results for portfolio strategies by showing that a currency portfolio that trades based on our detected break-points outperforms a simple buy-and-hold strategy.... weniger
Thesaurusschlagwörter
Finanzmarkt; Devisen; Währung
Klassifikation
Volkswirtschaftstheorie
Freie Schlagwörter
Kryptowährung
Sprache Dokument
Englisch
Publikationsjahr
2020
Erscheinungsort
Wien
Seitenangabe
47 S.
Schriftenreihe
IHS Working Paper, 17
Status
Veröffentlichungsversion; begutachtet