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Merger Announcements and Trading
Author(s) -
Ascioglu N. Asli,
McInish Thomas H.,
Wood Robert A.
Publication year - 2002
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/1475-6803.t01-1-00007
Subject(s) - market liquidity , high frequency trading , business , stock exchange , positive correlation , stock (firearms) , monetary economics , dark liquidity , algorithmic trading , stock trading , volume (thermodynamics) , financial economics , economics , stock market , finance , medicine , paleontology , mechanical engineering , physics , horse , quantum mechanics , biology , engineering
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.