The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods
研究使用条件分位数回归，分析了市场条件、波动性和流动性冲击在新冠疫情前后对套利利润的影响，发现疫情期波动上升且流动性低时套利不可行，但波动下降时投资者会启动套利，对基金经理和市场分析师制定交易策略有参考价值。
Abstract The study examines the effects of market conditions, volatility and liquidity shocks on the arbitrage profits during pre‐COVID and COVID periods. The study uses a conditional quantile regression and finds no significant difference in the impact of market conditions on the arbitrage profits during pre‐COVID and COVID crisis periods. The increase in volatility combined with low liquidity during the COVID period makes arbitrage non‐viable. However, the decline in volatility during the COVID period encourages investors to initiate arbitrage. The results are useful to fund managers and market analysts to develop suitable trading strategies and stock market regulators to take necessary steps to improve price discovery mechanisms and market efficiency.