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Stock Exchange Merg...
Stock Exchange Mergers and Weak-Form Information Efficiency : Evidence from the OMX Nordic and Baltic Consolidation
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- Hellström, Jörgen (author)
- Umeå universitet,Företagsekonomi
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- Liu, Yuna, 1984- (author)
- Umeå universitet,Nationalekonomi
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- Sjögren, Tomas, 1967- (author)
- Umeå universitet,Nationalekonomi
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(creator_code:org_t)
- Aalto : Association of business Schools, Aalto University, 2018
- 2018
- English.
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In: The Nordic Journal of Business. - Aalto : Association of business Schools, Aalto University. - 2342-9003 .- 2342-9011. ; 67:2, s. 114-136
- Related links:
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http://njb.fi/vol-67...
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https://umu.diva-por... (primary) (Raw object)
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Abstract
Subject headings
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- In this paper, we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. A time-varying measure of return predictability for individual stocks is used in a panel-data seting to test for stock market merger effects. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed, indicating, among other, a flight to liquidity effect, i.e. relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Keyword
- Time-varying return predictability
- turnover
- market structure
Publication and Content Type
- ref (subject category)
- art (subject category)
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