J. Overdahl et H. Mcmillan, ANOTHER DAY, ANOTHER COLLAR - AN EVALUATION OF THE EFFECTS OF NYSE RULE 80A ON TRADING COSTS AND INTERMARKET ARBITRAGE, The Journal of business, 71(1), 1998, pp. 27-53
In 1990, the New York Stock Exchange amended its Rule 80A to restrict
stock index arbitrage on days of large price movements. We find that R
ule 80A significantly curtails-or ''collars''-index arbitrage activity
. In spite of this curtailment in index arbitrage volume, we find that
Rule 80A appears to have had little overall impact on trading costs a
nd intermarket linkage, although pricing discrepancies between the mar
kets do appear to be eliminated less quickly. Our results are consiste
nt with the hypothesis that information is conveyed from one market to
the other by means other than formal arbitrage.