Cross-listed Securities and Multiple Exchange Memberships: Demand Di昀ferentiability and Equilibrium Existence

摘要

The previous literature on general equilibrium has assumed that all traders belong to a single market. However,rntraders often participate in more than one exchange to diversify their portfolios. Moreover, there is evidencernthat the security listings of exchanges overlap. Our model captures these facts: there are multiple exchanges,rnthe same security is listed in different exchanges, and traders can belong to more than one exchange. We showrnthat, in the presence of convex transaction costs, there exists an equilibrium, and that individual demand is arncontinuously differentiable function in prices.