Arbitrage opportunities in global markets lead to volatile price extremes.
Arbitrage opportunities in U.S. markets for cross-listed stocks from 35 countries were studied. Price differences between American Depositary Receipts (ADRs) and home-market shares were measured, averaging 4.9 basis points. These deviations can be volatile and reach significant levels. Factors like holding costs can affect arbitrage, even after considering transaction costs and foreign investment restrictions.