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Stock exchange mergers: a dynamic correlation analysis on Euronext

Christian Espinosa-Méndez (), Juan Gorigoitía and João Vieito
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Juan Gorigoitía: Universidad de Santiago de Chile
João Vieito: Polytechnic Institute of Viana do Castelo, Portugal and Applied Management Research Unit (UNIAG)

Portuguese Economic Journal, 2020, vol. 19, issue 2, No 1, 98 pages

Abstract: Abstract This article investigates the role of Stock Exchange Mergers on stock market return co-movements. Using a dynamic conditional correlation model proposed by Engle (J Bus Econ Stat 20:339–350, 2002), the Euronext Stock Exchange was analyzed, and findings point to an increase in correlation levels of stock return among Euronext unitholders. In short, Euronext stock exchange mergers increased interdependency among these markets, which means that the possibility of diversifying investment risk in these markets is reduced.

Keywords: Stock exchange merger; Euronext; Dynamic conditional correlation (search for similar items in EconPapers)
JEL-codes: C12 C13 C58 G15 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10258-019-00160-5

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