Financial super-markets: size matters for asset trade

• 成果类型: Article
• 署名作者: Martin, P; Rey, H
• 署名单位: heSam Universite; Universite Pantheon-Sorbonne; Princeton University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2003.12.001
• 发表日期: 2004
• 页码: 335-361
• 关键词: international financial flows; monopolistic competition; transaction costs; endogenously incomplete markets; HOME BIAS

摘要

Empirically, demand and market size effects play an important role for international trade in assets and the determination of asset prices. Financial integration decreases the cost of capital, asset prices increase with investors base and market size determines international financial flows. We present a two-country model with an endogenous number of financial assets, where the interaction of a risk diversification motive and market segmentation explains those facts. In our set up, an imperfectly competitive structure of financial markets emerges naturally and provides a new source for home bias in equity holdings. Due to co-ordination failures, the extent of financial market incompleteness is inefficiently high in equilibrium. (C) 2004 Elsevier B.V. All rights reserved.