Please use this identifier to cite or link to this item: http://repositorio.ufla.br/jspui/handle/1/36753
Title: Mergers and acquisitions and market volatility of brazilian banking stocks: an application of GARCH models
Keywords: GARCH class models
M&As announcements
Stock market returns
Volatility
Mergers and acquisitions
Generalized Autoregressive Conditional Heteroscedastic (GARCH)
GARCH model
Issue Date: 21-Dec-2016
Publisher: Taylor & Francis
Citation: PESSANHA, G. R. G. et al. Mergers and acquisitions and market volatility of brazilian banking stocks: an application of GARCH models. Latin American Business Review, [S.l.], v. 17, n. 4, p. 333-357, 2016. DOI: 10.1080/10978526.2016.1232596.
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.
URI: https://www.tandfonline.com/doi/full/10.1080/10978526.2016.1232596
http://repositorio.ufla.br/jspui/handle/1/36753
Appears in Collections:DES - Artigos publicados em periódicos

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.