ادغام بورس اوراق بهادار و شکل ضعیف کارایی بازار: مورد یورونکست لیسبون

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto (Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this question we perform numerous statistical tests: serial correlation test (ACF test), runs test, unit root test (Kwiatkowski, Philips, Schmidt, & Shin, 1992), multiple variance ratio test (Chow & Denning, 1993) and ranks and signs test (Wright, 2000). The results indicate that the Portuguese Equity Market is inefficient in weak form during pre-merger period implying that investors possessed an opportunity to earn abnormal returns though small in magnitude. The results, sensitive to the methodology used, indicate a mixed evidence of improvement in market efficiency during the post-merger period. Although the findings are mixed, yet most tests show a tendency of improved efficiency.

Past studies that examined the impact of stock exchanges merger focused only on the improvement of market liquidity (Nielsson, 2009) and the increase in corporate access to financing capital (Kokkoris & Olivares-Caminal, 2008). However, so far there has been no study that examined the impact of stock exchanges merger on market efficiency. In this paper, we examine the impact of the merger between the Portuguese Stock Exchange with Euronext Lisbon (that created the Euronext Lisbon in 2002) on the market efficiency (Table 5).

We evaluate the weak form of Portuguese Stock Market efficiency before and after the merger with Euronext in 2002. More precisely, we investigate if market returns explain variation in daily stock returns and if daily stock price changes represent a random walk. Our full sample covers an 11 year period starting from 1998 and ending at 2008 and two sub-samples cover pre-merger (1998/2002) and post- merger periods (2002/2008). Our results show that market returns explain only a small portion of the stock returns, and the impact of the merger is mixed on the explanatory power of the single factor (market returns) model. To test the random walk theory, we use the serial correlation test, runs test, unit root test, multi-variance ratio test and ranks and signs test. The test results reveal that serial correlation for lag 1 reduces practically for all the companies after the merger. Runs test offer evidence, in most cases, to refute the theory of random walk for the full sample as well as pre and post- merger sub-samples. However, we find evidence of improvement in market efficiency in the post- merger period compared to pre-merger period. Based on unit root test, Kwiatkowski, Philips, Schmidt, & Shin (1992) test, we fail to reject the null hypothesis of a non-stationary return series (random walk) for the full sample and also for the periods before and after the merger and conclude that the return series is non- stationary. However, after the merger the series tends to be more non stationary than before the merger. We perform the variance ratio test to test the random walk hypothesis. Results show that in most cases the test statistics are significant indicating predictability of stock returns. In the post-merger period we note an improvement of market efficiency but for a small number of companies. For other stocks the market inefficiency did not decline further. Thus, after the merger the market efficiency either improved or stayed the same. Finally, we also perform the Wright (2000) ranks and signs tests and find that after the merger the number of firms increases, using sign test, where the null hypothesis fallows a random walk showing a positive effect of the stock exchange merger on market efficiency. Overall, results show that the Portuguese market, like many other emerging markets, is by and large inefficient in weak form but the impact of stock exchanges merger on efficiency is mixed and sensitive to the methodology that is used. Although the findings are mixed, yet most tests show a tendency of improved efficiency in a large number of companies. This leads us to conclude that the improvement in market efficiency in post- merger period can not necessarily be rejected.