Design
Cross-exchange price comparison, regional arbitrage indices, and signed-volume decomposition.
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Liquidity and market structure · mechanistic
Makarov and Schoar document large recurrent cross-exchange price deviations, with larger gaps across countries and evidence consistent with constrained arbitrage capital.
Makarov and Schoar document large recurrent cross-exchange price deviations, with larger gaps across countries and evidence consistent with constrained arbitrage capital.
The result is clear in the peer-reviewed historical study, but the venue set and market structure have changed since its 2017 to 2018 sample.
The paper reports larger price deviations across countries than within countries and links their behavior to limits on arbitrage capital.
Cross-exchange price comparison, regional arbitrage indices, and signed-volume decomposition.
Prices, signed volume, common price components, and exchange-specific deviations.
Observed price gaps are not net arbitrage returns until transfer, funding, custody, capital-control, fee, and execution constraints are modeled.
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Igor Makarov, Antoinette Schoar · Journal of Financial Economics · 2020
Version of record reviewed.
Current premium views are related market context, not a paper replication.
Reviewed 2026-07-13; next review 2026-10-13. The paper record is not a recommendation, forecast, or proof of current profitability. Information, not financial advice.