2020-02-272020-02-19http://hdl.handle.net/10784/15887Mergers 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.spaworkingPaperinfo:eu-repo/semantics/openAccessEmerging MarketsGARCH event studyLatin AmericaBanking industryAcceso abierto2020-02-27C32G14G21G34Lozada, Juan MCortés, Lina M.Velasquez Gaviria, Daniel