Open this publication in new window or tab >>2018 (English)In: The Nordic Journal of Business, ISSN 2342-9003, E-ISSN 2342-9011, Vol. 67, no 2, p. 114-136Article in journal (Refereed) Published
Abstract [en]
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.
Place, publisher, year, edition, pages
Aalto: Association of business Schools, Aalto University, 2018
Keywords
Time-varying return predictability, turnover, market structure
National Category
Economics
Identifiers
urn:nbn:se:umu:diva-163496 (URN)
2019-09-232019-09-232019-09-26Bibliographically approved