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Merger Announcements and Trading

  • N. Asli Ascioglu
  • Thomas H. McInish
  • Robert A. Wood

We test whether an increase either in informed trades or in large liquidity trades leads to greater correlation of trading volume across markets. We confirm that both trading volume and positive returns of target companies are abnormally high before merger announcements. We find a statistically significant increase in the correlation between New York Stock Exchange and Nasdaq/regional trading volume before merger announcements. Furthermore, after merger announcements, we find evidence of both large liquidity trading and a statistically significant increase in the correlation of trading volume across markets. Southern Finance Association and the Southwestern Finance Association.

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Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 25 (2002)
Issue (Month): 2 ()
Pages: 263-278

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Handle: RePEc:bla:jfnres:v:25:y:2002:i:2:p:263-278
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