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Article

Слияние РТС и ММВБ: оценка эффективности институциональных и структурных изменений

Importance. The paper highlights the issue of exchange consolidation within intensified consolidation processes in organized trading; in particular, it highlights the consolidation of the two largest Russian exchanges, MICEX and RTS, and foundation of a single trading platform, the Moscow Exchange, in December 2011. Exchange consolidation is widely seen as a way to improve the quality and competitiveness of the trading platform in a market environment featured by an ever intensifying competition and to make it comply with international standards. It is thus reasonable to believe that some market parameters would perform better on a united exchange in comparison to segmented exchanges.

Objective. The paper assesses the effect of the MICEX and RTS consolidation on liquidity. Liquidity is chosen for the research since it facilitates fair pricing of an asset and is one of the key market parameters to be considered by the two market participants – investors and issuers. With respect to investors liquidity is important due to its impact onto the outcome of trading strategies. With respect to issuers liquidity is important since it establishes conditions for determining fair company’s value.

Methodology. To test the hypothesis a comparative analysis of the states of liquidity pre and post exchange consolidation is conducted on a market-wide sample divided into groups of stock of comparable market capitalization. Liquidity is evaluated through three liquidity projections (trading costs, trading activity, and elasticity) which jointly render a more complete and precise depiction of liquidity’s multifaceted nature.

Results/conclusions. Comparative analysis of the states of liquidity on market-wide samples reveals no evidence in favor of positive changes in the state of liquidity in the post-consolidation period. A possible explanation could be that the exchange consolidation facilitated access to the Moscow Exchange for former RTS small- and mid-cap stocks as well as immature issues of newly listed companies. The explanation is supported by comparative analysis of the states of liquidity on “identical market” (i.e. market of identical stock composition pre and post consolidation) where liquidity improves in one of its projections.