This article investigates the role of Stock Exchange Mergers on stock market return co-movements. Using a dynamic conditional correlation model proposed by Engle (J Bus Econ Stat 20:339–350, 2002), the Euronext Stock Exchange was analyzed, and findings point to an increase in correlation levels of stock return among Euronext unitholders. In short, Euronext stock exchange mergers increased interdependency among these markets, which means that the possibility of diversifying investment risk in these markets is reduced.

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证券交易所合并：泛欧交易所的动态相关性分析

本文研究了证券交易所合并在股票市场收益联动中的作用。使用Engle提出的动态条件相关模型（J Bus Econ Stat 20：339-350，2002），对泛欧交易所股票交易所进行了分析，研究结果表明泛欧交易所单位持有人之间股票回报的相关水平有所提高。简而言之，泛欧证券交易所合并增加了这些市场之间的相互依赖性，这意味着降低了在这些市场中分散投资风险的可能性。