Saturday, 19 March 2011: 17:40
Although the role of the institutional environment in the presence of herding has been documented in several studies, no study to date has explored the impact of exchange mergers over herding, despite the institutional implications accruing to the participating markets. We explore this issue for the first time in the contect of Euronext-group which encompasses the stock exchanges of Belgium, France, netherlands and Portugal. Our results indicate that merging into Euronext did not produce a uniform pre-post-merger effect over herding significance across these four markets. Regarding its structure, the fact that herding post-merger appears less persistent and noisier, indicates that an improved informational environment like Euronext's leads to a reduction in the momentum of herding movements.