Mergers and Acquisitions and Brazilian Banking Stock Market Volatility:An Application of GARCH Models

Pessanha, Gabriel and Pereira, Nádia and Calegário, Cristina and Sáfadi, Thelma and Neves de Ázara, Leiziane (2016) Mergers and Acquisitions and Brazilian Banking Stock Market Volatility:An Application of GARCH Models. LATIN AMERICAN BUSINESS REVIEW, 17 (4). pp. 333-357. ISSN 1097-8526

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Abstract

The main objective of this research was to investigate the impacts caused by announcements of mergers and acquisitions (M&As) on the volatility of the returns of Brazilian bank stocks from 1994 to 2015. In order to achieve the proposed objective, this study applied Generalized Autoregressive Conditional Heteroscedastic (GARCH) class models to the series to model their volatility. Our results confirmed the impact of the announcement of M&As on volatility. They suggest that M&A announcements are expected to cause a negative reaction if related to an expansion or a deal involving a less-well known bank, and a positive reaction if it involves well-known bank with good reputation—a higher level of confidence and a lower level of information asymmetry for investors.

Item Type:
Journal Article
Journal or Publication Title:
LATIN AMERICAN BUSINESS REVIEW
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1400/1403
Subjects:
ID Code:
134616
Deposited By:
Deposited On:
22 Jun 2019 09:15
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 12:03