Speculators had a field day Friday as an unsubstantiated rumor of a merger between

E*Trade

(ET) - Get Report

and

Ameritrade

(AMTD) - Get Report

fueled gains in both stocks.

Shares of two of the biggest online brokers rose in lockstep, each surging more than 9% on the merger rumor. Shortly before the close of the trading, E*Trade was up 97 cents to just under $12, while Ameritrade rose $1.05 to about $11.80.

There wasn't much in the market to support the story, even though most believe further consolidation in the online brokerage sectors is inevitable.

Rich Repetto, an analyst with Sandler O'Neill & Partners, said the merger rumor may have been fueled by E*Trade's decision to cancel a European investor trip and the firm's move to reduce a stock buyback program. But he believes the speculation is fanciful at best.

"In the near term, we believe the rumors are invalid and that the two factors we mention above are not signs of a pending deal," said Repetto, in a research report.

But Repetto, as he has said on a number of occasions, added that consolidation in the online brokerage sector will eventually take place.

"We believe the strong intraday move up is an indication of the positive benefits investors see in consolidation ... as well as the stocks' poor performance year-to-date,'' he said.

Before the run-up, shares of E*Trade were down 26% for the year, while Ameritrade had fallen 25%.

A big reason many believe more mergers between online brokerages are inevitable is that it's become harder for firms to make money. For the past year, online brokers have been engaged in a price war, slashing commissions on trades.

The lower commission costs are turning the online brokerage space increasingly into a volume business. And one way to build volume is through acquisitions.

Any deal between E*Trade and Ameritrade likely would be a merger of equals. The companies have similar market-caps, ranging between $4.4 billion to $4.7 billion.