EconPapers    
Economics at your fingertips  
 

Stock Exchange Mergers and Market Efficiency

Amelie Charles, Olivier Darné, Jae Kim () and Etienne Redor ()
Additional contact information
Etienne Redor: Audencia Recherche - Audencia Business School

Working Papers from HAL

Abstract: 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.

Keywords: Martingale difference sequence; Stock exchange mergers; Market efficiency; Martingale difference sequence. (search for similar items in EconPapers)
Date: 2014-01-31
New Economics Papers: this item is included in nep-com
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00940105
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00940105/document (application/pdf)

Related works:
Journal Article: Stock exchange mergers and market efficiency (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00940105

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-11-28
Handle: RePEc:hal:wpaper:hal-00940105