At that time, the main currency for arbitrage transaction was yen, because the interestrate was low for yen then, and many objects of arbitrage transaction were AUD and NZD.
Despite that modern option pricing theory can give an accurate describe of the interestrate movement, no arbitrage model, the equilibrium model, the martingale model all have deficit.
Capital flow is sensitive to interestrate and foreign exchange rate, a small spread may lead to large-scale currency conversion and arbitrage activities.