<i>Ex post-</i>merger evaluation: evidence from the Brazilian stock exchange

Pordeus, Lucas Silveira; Resende, Guilherme Mendes

doi:10.1590/19805527252912

Figure 1 – Exchange trading fees (2012-2021). Note: the Brazilian stock exchange (BVMF-B3), the Mexican Stock Exchange (BMV), the Warsaw Stock Exchange (GPW), the Japan Exchange Group (JPX), and the Intercontinental Exchange (ICE, which operates the New York Stock Exchange, or NYSE). Source: elaborated by the authors.

Thumbnail

Figure 2 – Average trading fees for the Brazilian exchange and its synthetic counterpart. Note: visual output of the Ridge ASCM, whose variable of interest is the average trading fee charged by the exchanges. Source: elaborated by the authors.

Thumbnail

Figure 3 – Gap in average trading fees. Note: test comparing the gap in average trading fees in BVMF/B3 with placebo gaps in the other four control exchanges. Source: elaborated by the authors.

Thumbnail

Table 1 – Descriptive statistics for exchange trading fees

Thumbnail

Table 2 – Estimates for 2012 to 2021, excluding ICE-NYSE

Thumbnail

Table 3 – Estimates for 2012 to 2021, excluding ICE-NYSE and Mexican (BVM)

Thumbnail

Table 4 – Mean values of predictors before treatment

Thumbnail

Estimates A.1 – All exchanges and all time periods DID impact -0.01156** -0.02322*** -0.02256*** -0.01999*** (0.005) (0.003) (0.003) (0.003) Observations 212 212 212 212 R2 0.109 0.746 0.801 0.805 Estimates A.2 – All exchanges from 2012 to 2021 DID impact 0.00005 -0.00954*** -0.00845*** -0.00731*** (0.004) (0.002) (0.001) (0.001) Observations 184 184 184 184 R2 0.145 0.861 0.926 0.927 Estimates A.3 – All time periods excluding the US exchange (ICE-NYSE) DID impact -0.01367*** -0.02468*** -0.02566*** -0.01156*** (0.005) (0.003) (0.004) (0.004) Observations 180 180 180 180 R2 0.228 0.747 0.748 0.807 Estimates A.4 – All time periods excluding the US (ICE-NYSE) and the Mexican (BMV) exchanges DID impact -0.00641 -0.02289*** -0.01940*** -0.00943** (0.006) (0.003) (0.004) (0.004) Observations 136 136 136 136 R2 0.213 0.778 0.784 0.812 Estimates A.5 – Excluding the US exchange (ICE-NYSE) from 2012 to 2021 DID impact -0.00157 -0.01110*** -0.01140*** -0.00457** (0.004) (0.002) (0.002) (0.002) Observations 152 152 152 152 R2 0.329 0.911 0.911 0.936 Estimates A.6 – Excluding the US (ICE-NYSE) and the Mexican (BMV) exchanges from 2012 to 2021 DID impact 0.00443 -0.00883*** -0.00206** -0.00140 (0.005) (0.002) (0.001) (0.001) Observations 112 112 112 112 R2 0.279 0.970 0.987 0.988 Estimates A.7 – Excluding the US (ICE-NYSE) and Japanese (JPX) exchanges for all time periods DID impact -0.02029*** -0.02025*** -0.02413*** -0.01165** (0.003) (0.004) (0.005) (0.005) Observations 148 148 148 148 R2 0.659 0.659 0.676 0.723 Estimates A.8 – Excluding the US (ICE-NYSE) and Japanese (JPX) exchanges from 2012 to 2021 DID impact -0.00687*** -0.00619*** -0.00995*** -0.00811*** (0.002) (0.002) (0.002) (0.002) #Observations 120 120 120 120 R2 0.919 0.920 0.929 0.931 Estimates A.9 – All time periods with common data availability only for the US exchange (ICE-NYSE) DID impact -0.00173*** -0.00112** -0.00095* -0.00069 (0.000) (0.000) (0.001) (0.001) #Observations 64 64 64 64 R2 0.935 0.937 0.937 0.948 Estimates A.10 – All time periods with common data availability only for the Japanese exchange (JPX) DID impact -0.00080* -0.00002 -0.00164*** -0.00108** (0.000) (0.000) (0.000) (0.000) #Observations 64 64 64 64 R2 0.668 0.709 0.753 0.806 Estimates A.11 – All time periods with common data availability only to the Mexican exchange (BMV) DID impact -0.01739*** -0.01286*** -0.00935*** -0.00634* -0.00327 (0.003) (0.003) (0.003) (0.004) (0.004) #Observations 88 88 88 88 88 R2 0.847 0.863 0.868 0.870 0.871 Estimates A.12 – All time periods with common data availability only to the Polish exchange (GPW) DID impact -0.00640** 0.00365 0.00290 0.00473 (0.003) (0.004) (0.004) (0.004) #Observations 96 96 96 96 R2 0.814 0.828 0.830 0.835 Estimates A.13 – Only the Mexican exchange (BMV) from 2012 to 2021 DID impact -0.01447*** -0.01342*** -0.01254*** -0.01073*** -0.00802*** (0.002) (0.002) (0.002) (0.003) (0.003) #Observations 80 80 80 80 80 R2 0.938 0.939 0.939 0.940 0.942 Estimates A.14 – Only the Polish exchange (GPW) from 2012 to 2021 DID impact 0.00072 0.00352*** 0.00354*** 0.00384*** (0.001) (0.001) (0.001) (0.001) Observations 80 80 80 80 R2 0.988 0.990 0.990 0.990 Estimates A.15 – Excluding the US exchange (ICE-NYSE) from 2012 to the first quarter of 2020 DID impact -0.01339** -0.02304*** -0.02484*** -0.01142*** (0.005) (0.003) (0.004) (0.004) Observations 152 152 152 152 R2 0.203 0.702 0.707 0.794

(1)

(2)

(3)

(4)

	Pre-intervention period		Post-intervention period
Average fee
BVMF-B3	0.0104%	(0.0022%)	0.0068%	(0.0014%)
BMV	0.0399%	(0.0055%)	0.0509%	(0.0075%)
GPW	0.0504%	(0.0029%)	0.0461%	(0.0017%)
ICE	0.0019%	(0.0001%)	0.0015%	(0.0002%)
JPX	0.0065%	(0.0004%)	0.0052%	(0.0008%)
N. of transactions
BVMF-B3	52,702,655.71	(8,486,042.20)	136,834,133.16	(64,133,081.82)
BMV	10,666,891.90	(4,316,662.63)	20,414,712.11	(3,048,711.69)
GPW	3,931,170.00	(787,137.64)	6,749,188.42	(2,508,403.66)
ICE	424,223,570.00	(55,700,040.20)	570,752,014.74	(182,914,022.93)
JPX	190,314,872.31	(27,524,579.94)	221,342,895.26	(23,352,873.28)
GDP per capita
BVMF-B3	2,715.89	(445.58)	2,103.24	(294.39)
BMV	2,495.56	(215.21)	2,394.28	(196.56)
GPW	3,297.49	(189.78)	3,982.88	(314.06)
ICE	14,190.89	(349.83)	16,078.10	(850.40)
JPX	9,423.31	(564.71)	9,951.55	(261.37)
Listed firms
BVMF-B3	361.83	(6.76)	344.56	(16.15)
BMV	139.08	(3.96)	145.37	(1.36)
GPW	882.83	(29.40)	840.93	(32.65)
ICE	2,397.41	(55.57)	2,267.46	(85.78)
JPX	3,487.49	(41.62)	3,679.42	(71.09)

	(1)	(2)	(3)	(4)
VARIABLES	Average fee	Average fee	Average fee	Average fee

Treatment/control	-0.02566***	-0.03583***	-0.03579***	-0.03049***
	(0.002)	(0.002)	(0.002)	(0.002)
Pre-/post-treatment	-0.00198	0.00395***	0.00404***	0.00532***
	(0.004)	(0.001)	(0.001)	(0.001)
DID impact	-0.00157	-0.01110***	-0.01140***	-0.00457**
	(0.004)	(0.002)	(0.002)	(0.002)
GDPPC		-0.00001***	-0.00001***	-0.00001***
		(0.000)	(0.000)	(0.000)
Listed firms			0.00000	0.00001***
			(0.000)	(0.000)
N. of transactions				-0.00000***
				(0.000)
Constant	0.03603***	0.06223***	0.06286***	0.06149***
	(0.002)	(0.002)	(0.003)	(0.002)

Observations	152	152	152	152
R²	0.329	0.911	0.911	0.936

	(1)	(2)	(3)	(4)
VARIABLES	Average fee	Average fee	Average fee	Average fee

Treatment/control	-0.02325***	-0.04323***	-0.04654***	-0.04503***
	(0.004)	(0.001)	(0.001)	(0.001)
Pre-/post-treatment	-0.00797	0.00110	-0.00193***	-0.00157***
	(0.005)	(0.001)	(0.001)	(0.001)
DID impact	0.00443	-0.00883***	-0.00206**	-0.00140
	(0.005)	(0.002)	(0.001)	(0.001)
GDP per capita		-0.00001***	-0.00000	-0.00000
		(0.000)	(0.000)	(0.000)
Listed firms			-0.00001***	-0.00001***
			(0.000)	(0.000)
N. of transactions				-0.00000***
				(0.000)
Constant	0.03362***	0.07215***	0.06309***	0.06278***
	(0.004)	(0.001)	(0.001)	(0.001)

Observations	112	112	112	112
R²	0.279	0.970	0.987	0.988

VARIABLES	BVMF/B3	Synthetic	Sample mean
GDP per capita (ln)	7.9930	8.6100	8.6980
Listed firms (ln)	5.9050	6.2260	6.9040
N. of transactions (ln)	17.7030	18.3290	17.4740
Average trading fees	0.0090	0.0060	0.0230

[1] Note: “average fee” refers to the average trading fee by quarter. “GDP per capita”, “listed firms”, and “N. of transactions” are control variables for, respectively, the GDP per capita by quarter in US dollars, the number of transactions by quarter, and the average number of listed companies by quarter. Standard deviation in parentheses.

[2] Source: elaborated by the authors.

Ex post-merger evaluation: evidence from the Brazilian stock exchange

Avaliação ex post de fusões: evidências da bolsa de valores brasileira

Abstracts