Limits to arbitrage and the MAX anomaly in advanced emerging markets

Title: Limits to arbitrage and the MAX anomaly in advanced emerging markets
Creator: Seif, Mostafa; Docherty, Paul; Shamsuddin, Abul
Relation: Emerging Markets Review Vol. 36, Issue September 2018, p. 95-109
Publisher Link: http://dx.doi.org/10.1016/j.ememar.2018.03.004
Publisher: Elsevier
Resource Type: journal article
Date: 2018
Description: Evidence of a negative relationship between extreme positive returns and future returns has been reported in developed markets (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016). This study examines this “MAX anomaly” across advanced emerging markets, which are characterised by a higher level of limits to arbitrage compared with developed markets, but lower financial frictions than their secondary emerging counterparts. The MAX anomaly is shown to be larger in magnitude in advanced emerging markets compared with developed markets. Our results support the proposition that the MAX anomaly is a pervasive anomaly that is related to mispricing.
Subject: MAX anomaly; limits of arbitrage; mispricing; emerging markets
Identifier: http://hdl.handle.net/1959.13/1472367
Identifier: uon:48811
Identifier: ISSN:1566-0141
Language: eng
Reviewed