Euronext Stock Exchange Merger and Market Efficiency
23 Pages Posted: 31 Jan 2013
Date Written: January 30, 2013
This paper is among the first to examine the effect of Euronext stock exchange merger with Amsterdam Stock Exchange, Brussels Stock Exchange, Paris Bourse and Bolsa de Valores de Lisboa e Porto in terms of market efficiency improvement. Mean-variance, CAPM statistics, multiple variance ratio test, runs test, ranks and signs tests and stochastic dominance approach are employed to test the market efficiency of these four stock exchanges before and after the merger. We find that the Bolsa de Valores de Lisboa e Porto is more efficient in the post merger period. For the rest of stock exchanges, the merger process did not change the inefficient markets to efficient but we can see some improvements of efficiency.
Keywords: Stock Exchange Merger, Euronext, Market Efficiency, Stochastic Dominance
JEL Classification: G14, G15
Suggested Citation: Suggested Citation