Stock Exchange Mergers and Market

Amélie Charles (), Olivier Darné, Jae Kim and Etienne Redor ()
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Amélie Charles: Audencia Business School
Etienne Redor: Audencia Business School

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Abstract: The aim of this article is to examine the impact of stock exchange mergers on the degree of informational efficiency. For this purpose, we apply the generalized spectral shape test for the martingale difference hypothesis to the stock returns before and after the 31 domestic and crossborder mergers completed from 1997 to 2011. The test is conducted with moving subsample windows, allowing us to detect the periods of (in)efficiency, and thus to conduct a comparative analysis for pre-merger and post-merger periods. We find that higher levels of efficiency are less frequent than lower levels of efficiency after a stock exchange merger. We also find that the impact on the level of efficiency depends on a range of merger characteristics such as the level of development, size, geographical diversification and industrial diversification of stock exchange

Keywords: Stock exchange mergers; market efficiency; martingale difference sequence (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-fmk
Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-01238707
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Published in Applied Economics, 2016, 48 (7), pp.576-589. ⟨10.1080/00036846.2015.1083090⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01238707

DOI: 10.1080/00036846.2015.1083090

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