Title :
Stock Price Synchronicity and Limited Arbitrage
Author :
Wang, Bingbing ; Xia, Xinping ; Xiao, Hao
Author_Institution :
Sch. of Manage., Huazhong Univ. of Sci. & Technol., Wuhan, China
Abstract :
A new view of limited arbitrage is applied in the study of the reasons of stock price synchronicity in China based on the behavioral finance theory. This paper made an explorary study about the relation between limited arbitrage, stock price synchronicity and market efficiency. A conclusion different from the study about cash stock dividends in foreign countries is derived that cash dividends as a tunnel of dominant strockholders increase the holding cost of arbitragers, and affect stock price synchronicity, leading to low market efficiency.
Keywords :
pricing; stock markets; China; arbitrager holding cost; behavioral finance; cash stock dividends; limited arbitrage; market efficiency; stock price synchronicity; Companies; Economics; Finance; Fluctuations; Indexes; Industries; Pricing;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998464
