Examinando por Materia "GARCH event study"

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    Ítem
    The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry
    (Universidad EAFIT, 2020-02-19) Lozada, Juan M; Cortés, Lina M.; Velasquez Gaviria, Daniel; jmlozadah@eafit.edu.co.; lcortesd@eafit.edu.co; danielvelasquez@itm.edu.co
    Mergers and acquisitions (M&As) are mainly a mechanism used in the Latin American banking industry to carry out business consolidation. This paper focuses on the effect of M&A announcements on stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormal returns (CAR) and impacts on event-induced variance (EIV). We use the GARCH-based event-study method. We find that acquirers and target banks have a statistically significant CAR, however, the sign is inconclusive. Rivals of acquirers and targets are not affected by M&A announcements. In general, we observe that EIV is negative for acquirers, targets, and rivals. Finally, we estimate a multivariate GARCH model to isolate the effects of co-movements of volatility between the acquirer and the target, and we find that the results remain qualitatively equal.
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    Ítem
    The stock market reaction to mergers and acquisitions : evidence from the banking industry
    (Universidad EAFIT, 2020) Lozada Hernández, Juan Manuel; Cortés Durán, Lina Marcela
    Mergers and acquisitions (M&As) are mainly a mechanism used in the Latin American banking industry to carry out business consolidation. This paper focuses on the effect of M&A announcements on stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormalreturns(CAR)andimpactsonevent-inducedvariance(EIV).WeusetheGARCHbased event-study method. We find that acquirers and target banks have a statistically significant CAR, however, the sign is inconclusive. Rivals of acquirers and targets are not affected by M&A announcements. In general, we observe that EIV is negative for acquirers, targets, and rivals. Finally, we estimate a multivariate GARCH model to isolate the effects of co-movements of volatility between the acquirer and the target, and we find that the results remain qualitatively equal.