Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon

Walayet Khan and João paulo Vieito ()

International Review of Economics & Finance, 2012, vol. 22, issue 1, 173-189

Abstract: This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto (Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this question we perform numerous statistical tests: serial correlation test (ACF test), runs test, unit root test (Kwiatkowski, Philips, Schmidt, & Shin, 1992), multiple variance ratio test (Chow & Denning, 1993) and ranks and signs test (Wright, 2000).

Keywords: Stock exchange mergers; Random walk hypothesis; Market efficiency (search for similar items in EconPapers)
JEL-codes: C12 C14 G14 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:22:y:2012:i:1:p:173-189

DOI: 10.1016/j.iref.2011.09.005

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