Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers

Yuna Liu ()
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Yuna Liu: Department of Economics, Umeå University, Postal: Department of Economics, Umeå University, S 901 87 Umeå, Sweden

No 925, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The impact of the stock market mergers that took place in the Nordic countries during 2000 – 2007 on the probabilities for stock price jumps, i.e. for relatively extreme price movements, are studied. The main finding is that stock market mergers, on average, reduce the likelihood of observing stock price jumps. The effects are asymmetric in the sense that the probability of sudden price jumps is reduced for large and medium size firms whereas the effect is ambiguous for small size firms. The results also indicate that the market risk has been reduced after the stock market consolidations took place.

Keywords: Tests for jumps; International financial markets; Market structure; Integration; Common trading platform; Mergers; Acquisitions (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 G15 G34 L10 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2016-03-16
New Economics Papers: this item is included in nep-cfn, nep-com, nep-fmk and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0925

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