Rahi, Rohit and Zigrand, Jean-Pierre (2014) Walrasian foundations for equilibria in segmented markets. Mathematics and Financial Economics, 8 (3). pp. 249-264. ISSN 1862-9679
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Abstract
We study a CAPM economy with segmented financial markets and competitive arbitrageurs who link these markets. We show that the equilibrium of the arbitraged economy is Walrasian in the sense that it coincides with the equilibrium of an appropriately defined competitive economy with no arbitrageurs. This characterization serves to clarify the role that arbitrageurs play in integrating markets.
| Item Type: | Article |
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| Official URL: | http://www.springer.com/mathematics/quantitative+f... |
| Additional Information: | © 2014 Springer-Verlag Berlin Heidelberg |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| Sets: | Departments > Finance Research centres and groups > Financial Markets Group (FMG) |
| Funders: | Systemic Research Centre, Economic and Social Research Council (ESRC) |
| Projects: | ES/K002309/1 |
| Date Deposited: | 28 Feb 2014 16:22 |
| URL: | http://eprints.lse.ac.uk/55940/ |
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