Walrasian foundations for equilibria in segmented markets

Rahi, Rohit

(2014) Walrasian foundations for equilibria in segmented markets Mathematics and Financial Economics, 8 (3). 249 - 264. ISSN 1862-9679

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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
Keywords	segmented markets,arbitrage,restricted participation
Departments	Finance Financial Markets Group
DOI	10.1007/s11579-014-0114-4
Date Deposited	28 Feb 2014 16:22
URI	https://researchonline.lse.ac.uk/id/eprint/55940

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http://www.lse.ac.uk/finance/people/faculty/Rahi.aspx (Author)
http://www.lse.ac.uk/finance/people/faculty/Zigrand.aspx (Author)
http://www.springer.com/mathematics/quantitative+f... (Official URL)

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