Connecting Disconnected Financial Markets?

In most financial markets, securities are traded in isolation. Such a disconnected market design can be inefficient if agents trade more than one security. I assess welfare effects of connecting markets by allowing orders for security to depend on prices other securities. show that everyone trades identical amounts under both structures and only the clearing perfectly correlated or all price-takers. Prices might allow strategic traders extract higher rents from nonstrategic traders. expectation, connected generate welfare, but become efficient as they grow large. (JEL D44, D47, G10, H82)