Finance and Stochastics ( IF 1.7 ) Pub Date : 2020-07-28 , DOI: 10.1007/s00780-020-00433-4 Paolo Guasoni , Kwok Chuen Wong
This paper evaluates the effect of market integration on prices and welfare, in a model where two Lucas trees grow in separate regions with similar investors. We find equilibrium asset price dynamics and welfare both in segmentation, when each region holds its own asset and consumes its dividend, and in integration, when both regions trade both assets and consume both dividends. Integration always increases welfare. Asset prices may increase or decrease, depending on the time of integration, but decrease on average. Cross-asset correlation is zero or negative before integration, but significantly positive afterwards, explaining some effects commonly associated with financialisation.
中文翻译:
细分市场和综合市场中的资产价格
本文在一个模型中评估了市场整合对价格和福利的影响,在该模型中,两棵卢卡斯树生长在投资者相似的不同地区。当每个地区拥有自己的资产并消耗其股息时,在细分中,以及当两个地区同时交易资产和消耗两种股息时,在整合中,我们发现均衡的资产价格动态和福利。融合总是会增加福利。资产价格可能会上升或下降,具体取决于整合时间,但平均会下降。整合之前,交叉资产相关性为零或负,但之后则显着为正,这解释了通常与金融化相关的一些影响。