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Stock exchange mergers: a dynamic correlation analysis on Euronext

Author

Listed:
  • Christian Espinosa-Méndez

    (Universidad de Santiago de Chile)

  • Juan Gorigoitía

    (Universidad de Santiago de Chile)

  • João Vieito

    (Polytechnic Institute of Viana do Castelo, Portugal and Applied Management Research Unit (UNIAG))

Abstract

This article investigates the role of Stock Exchange Mergers on stock market return co-movements. Using a dynamic conditional correlation model proposed by Engle (J Bus Econ Stat 20:339–350, 2002), the Euronext Stock Exchange was analyzed, and findings point to an increase in correlation levels of stock return among Euronext unitholders. In short, Euronext stock exchange mergers increased interdependency among these markets, which means that the possibility of diversifying investment risk in these markets is reduced.

Suggested Citation

  • Christian Espinosa-Méndez & Juan Gorigoitía & João Vieito, 2020. "Stock exchange mergers: a dynamic correlation analysis on Euronext," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(2), pages 81-98, May.
    • Handle: RePEc:spr:portec:v:19:y:2020:i:2:d:10.1007_s10258-019-00160-5
    DOI: 10.1007/s10258-019-00160-5
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    References listed on IDEAS

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    More about this item

    Keywords

    Stock exchange merger; Euronext; Dynamic conditional correlation;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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