Euronext Stock Exchange Merger and Market Efficiency

23 Pages Posted: 31 Jan 2013

See all articles by Siu Ho

Siu Ho

Chinese University of Hong Kong - Department of Economics

Hooi Hooi Lean

USM School of Social Sciences - Economics

João Paulo Vieito

Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo

Wing-Keung Wong

Asia University, Department of Finance

Date Written: January 30, 2013

Abstract

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

Ho, Siu and Lean, Hooi Hooi and Vieito, João Paulo and Wong, Wing-Keung, Euronext Stock Exchange Merger and Market Efficiency (January 30, 2013). Available at SSRN: https://ssrn.com/abstract=2209198 or http://dx.doi.org/10.2139/ssrn.2209198

Siu Ho

Chinese University of Hong Kong - Department of Economics

Shatin, N.T.
Hong Kong
Hong Kong

Hooi Hooi Lean

USM School of Social Sciences - Economics

Georgetown, Penang 11800
Malaysia

João Paulo Vieito (Contact Author)

Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo ( email )

Avenida Miguel Dantas
Valença, 4930
Portugal

Wing-Keung Wong

Asia University, Department of Finance ( email )

Taiwan
Taiwan

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