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Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers

Author

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  • Liu, Yuna

    () (Department of Economics, Umeå University)

Abstract

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.

Suggested Citation

  • Liu, Yuna, 2016. "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies 925, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0925
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    File URL: http://www.usbe.umu.se/digitalAssets/178/178083_ues925.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Tests for jumps; International financial markets; Market structure; Integration; Common trading platform; Mergers; Acquisitions;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General

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