Resumen
This study investigates the relationships among an exchange merger, investor sentiment, and liquidity by analyzing data from the 2013 merger of the Tokyo Stock Exchange and Osaka Securities Exchange. In contrast to prior studies, this study considers the investor sentiment e?ect of the merger. Synergy and the investor sentiment e?ect occur in the short run with liquidity increases. The investor sentiment e?ect occurs more strongly in small stocks.Keywords: Investor sentiment, Exchange merger, LiquidityJEL Classifications: G40, G10, G19