Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers
2016 (English)Report (Other academic)
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.
Place, publisher, year, edition, pages
2016. , 32 p.
Umeå economic studies, ISSN 0348-1018 ; 925
Tests for jumps, International financial markets, Market structure, Integration, Common trading platform, Mergers, Acquisitions
Research subject Economics
IdentifiersURN: urn:nbn:se:umu:diva-119871OAI: oai:DiVA.org:umu-119871DiVA: diva2:925271