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31 janvier 2014
- handle: 10670/1.tr74lf
- hal: hal-00940105
info:eu-repo/semantics/OpenAccess
Mots-clés
Martingale difference sequence Stock exchange mergers Market efficiency Martingale difference sequence. C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C14 - Semiparametric and Nonparametric Methods: General G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial MarketsSujets proches
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Amélie Charles et al., « Stock Exchange Mergers and Market Efficiency », HAL-SHS : économie et finance, ID : 10670/1.tr74lf
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Résumé
The aim of this paper is to examine the positive and negative impacts of stock exchange mergers on the informational efficiency of the markets. We consider a range of factors in relation to the stock exchange merger, that can potentially affects market efficiency, after a merger. These factors include the maturity of the markets being merged, the size of the markets, and different types of mergers (developed markets versus developing markets; large stock exchange mergers versus small stock exchange mergers; and domestic stock exchange mergers versus cross-border stock exchange mergers). For this purpose, we use a time-varying return predictability test which allows us to detect periods of (in)efficiency, and thus to conduct a comparative analysis for pre-merger and post-merger periods. We find that increases in efficiency are less frequent than decreases in efficiency after a stock exchange merger. Finally, we provide the empirical evidence that the impact on efficiency depends on range of the characteristics of the merger: stock exchange's country's level of development, size, geographical diversification and industrial diversification.