Baltic Stock Exchanges' Mergers the Effects on the Market Efficiency Dynamics (Paperback)

This paper is to analyse how the change of ownership structure in the Baltic Stock Exchanges affected market efficiency and whether the stock markets react efficiently to the various news announcements. The standard event-study methodology with daily trading data from 2001 to 2008 is used to examine the efficiency of the Riga, Tallinn, and Vilnius Stock Exchanges by investigating the abnormal returns performances surrounding the corporate news announcements. I find that the change of ownership structure in the Baltic Stock exchanges did not lead to the substantial increase of market efficiency. Investors have many opportunities to exploit market inefficiencies. The findings imply of possible insider trading and the need of stricter markets surveillance.