We investigate intraday arbitrage between close substitute Exchange-traded Funds (ETFs) on two major European indices: FTSE100 and DAX30. Using intraday data, we establish arbitrage links between our ETFs through cointegration and error correction models. We then apply an arbitrage identification procedure on approximately 18 million intraday matched quotes, resulting in 1.95% and 0.2% of observations on the ETF pairs for FTSE100 and DAX30 as arbitrage opportunities. They occur on specific days in our sample, disappear relatively quickly, and result in economically insignificant profits from arbitrage trades within the mispricing window, indicating overall price efficiency.

我们调查了两个主要欧洲指数FTSE100和DAX30上的紧密替代交易所买卖基金（ETF）之间的日内套利。利用日内数据，我们通过协整和纠错模型在ETF之间建立套利链接。然后，我们对大约1800万个日内匹配报价应用套利识别程序，从而得出FTSE100和DAX30 ETF对的套利机会分别为1.95％和0.2％。它们发生在我们样本中的特定日期，相对较快地消失，并导致定价错误窗口内套利交易的利润在经济上微不足道，表明总体价格效率。