Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence

Detalhes bibliográficos
Autor(a) principal: Faias, Marta
Data de Publicação: 2018
Outros Autores: Luque, Jaime
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/50409
Resumo: The previous literature on general equilibrium has assumed that all traders belong to a single market. However, traders often participate in more than one exchange to diversify their portfolios. Moreover, there is evidence that the security listings of exchanges overlap. Our model captures these facts: there are multiple exchanges, the same security is listed in different exchanges, and traders can belong to more than one exchange. We show that, in the presence of convex transaction costs, there exists an equilibrium, and that individual demand is a continuously differentiable function in prices.
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spelling Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existencemultiple exchange membershipscross-listingsequilibrium existencedemand differentiabilityThe previous literature on general equilibrium has assumed that all traders belong to a single market. However, traders often participate in more than one exchange to diversify their portfolios. Moreover, there is evidence that the security listings of exchanges overlap. Our model captures these facts: there are multiple exchanges, the same security is listed in different exchanges, and traders can belong to more than one exchange. We show that, in the presence of convex transaction costs, there exists an equilibrium, and that individual demand is a continuously differentiable function in prices.DM - Departamento de MatemáticaCMA - Centro de Matemática e AplicaçõesRUNFaias, MartaLuque, Jaime2022-03-27T01:01:18Z2018-012018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/50409eng1935-1704PURE: 3794983https://doi.org/10.1515/bejte-2016-0114info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:25:26Zoai:run.unl.pt:10362/50409Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:32:19.038675Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
title Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
spellingShingle Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
Faias, Marta
multiple exchange memberships
cross-listings
equilibrium existence
demand differentiability
title_short Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
title_full Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
title_fullStr Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
title_full_unstemmed Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
title_sort Cross-listed Securities and Multiple Exchange Memberships: Demand Differentiability and Equilibrium Existence
author Faias, Marta
author_facet Faias, Marta
Luque, Jaime
author_role author
author2 Luque, Jaime
author2_role author
dc.contributor.none.fl_str_mv DM - Departamento de Matemática
CMA - Centro de Matemática e Aplicações
RUN
dc.contributor.author.fl_str_mv Faias, Marta
Luque, Jaime
dc.subject.por.fl_str_mv multiple exchange memberships
cross-listings
equilibrium existence
demand differentiability
topic multiple exchange memberships
cross-listings
equilibrium existence
demand differentiability
description The previous literature on general equilibrium has assumed that all traders belong to a single market. However, traders often participate in more than one exchange to diversify their portfolios. Moreover, there is evidence that the security listings of exchanges overlap. Our model captures these facts: there are multiple exchanges, the same security is listed in different exchanges, and traders can belong to more than one exchange. We show that, in the presence of convex transaction costs, there exists an equilibrium, and that individual demand is a continuously differentiable function in prices.
publishDate 2018
dc.date.none.fl_str_mv 2018-01
2018-01-01T00:00:00Z
2022-03-27T01:01:18Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/50409
url http://hdl.handle.net/10362/50409
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1935-1704
PURE: 3794983
https://doi.org/10.1515/bejte-2016-0114
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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