Walrasian foundations for equilibria in segmented markets

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.

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Year of publication:	2014-06
Authors:	Rahi, Rohit ; Zigrand, Jean-Pierre
Institutions:	London School of Economics (LSE)
Subject:	segmented markets \| arbitrage \| restricted participation

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Mathematics and Financial Economics, June, 2014, 8(3), pp. 249-264. ISSN: 1862-9679
Classification:	J1 - Demographic Economics ; F3 - International Finance ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011126554