Abstract
The aim of this study is to investigate intraday liquidity patterns around the occurrence of an arbitrage opportunity in markets for cross-listed stocks. By implementing an event study on high frequency intraday data, we find that liquidity is higher when an arbitrage opportunity event occurs. The Granger causality test show unidirectional and even bidirectional causation between price movement and liquidity measures, indicating that price discrepancy may be a result of a particular state of liquidity. We also find that informed trading is higher when arbitrage opportunity occurs, and even increases when the number of events increases during the day.
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