Stock exchange competition in a simple model of capital market equilibrium

Ramos, Sofia B. ; Thadden, Ernst-Ludwig von

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Document Type: Working paper
Year of publication: 2003
The title of a journal, publication series: FAME Research Paper Series
Volume: 109
Place of publication: Geneva ; Zürich
Publishing house: International Center for Financial Asset Management and Engineering
Edition: Rev. 2007
Publication language: English
Institution: School of Law and Economics > Microeconomics and Finance (von Thadden (2004-)
Subject: 330 Economics
Abstract: This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock exchanges and model stock market integration as an increase in the correlation of the underlying market returns. Among other things, we find that market integration leads to a decrease of transaction costs and to an increase in trading activity.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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