The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry
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...
- Autores:
-
Lozada, Juan M
Cortés, Lina M.
Velasquez Gaviria, Daniel
- Tipo de recurso:
- Fecha de publicación:
- 2020
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/15887
- Acceso en línea:
- http://hdl.handle.net/10784/15887
- Palabra clave:
- Emerging Markets
GARCH event study
Latin America
Banking industry
- Rights
- License
- Acceso abierto
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Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2020-02-27T15:59:26Z2020-02-192020-02-27T15:59:26Zhttp://hdl.handle.net/10784/15887C32G14G21G34Mergers 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.spaUniversidad EAFITEscuela de Economía y FinanzasThe Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking IndustryworkingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2Emerging MarketsGARCH event studyLatin AmericaBanking industryjmlozadah@eafit.edu.co.lcortesd@eafit.edu.codanielvelasquez@itm.edu.coLozada, Juan Mf72429d8-599e-465d-b771-5c8fb6e2c4cd-1Cortés, Lina M.d512530b-e532-45b9-baa6-ab16fae407ac-1Velasquez Gaviria, Daniel8c26f297-8504-4d0e-8069-cbdfc0fa73db-1LICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/d109d6a0-351d-49a8-bf8f-dd7f90817a47/download76025f86b095439b7ac65b367055d40cMD51ORIGINALWP-2020-08_Lina Cortes.pdfWP-2020-08_Lina Cortes.pdfapplication/pdf1318644https://repository.eafit.edu.co/bitstreams/7709d6b5-d78a-46cf-a046-82483197cc18/download00d6a40b7079db2539656d3afd1c361cMD5210784/15887oai:repository.eafit.edu.co:10784/158872024-12-04 11:49:33.362open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co |
dc.title.eng.fl_str_mv |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
title |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
spellingShingle |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry Emerging Markets GARCH event study Latin America Banking industry |
title_short |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
title_full |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
title_fullStr |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
title_full_unstemmed |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
title_sort |
The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry |
dc.creator.fl_str_mv |
Lozada, Juan M Cortés, Lina M. Velasquez Gaviria, Daniel |
dc.contributor.eafitauthor.none.fl_str_mv |
jmlozadah@eafit.edu.co. lcortesd@eafit.edu.co danielvelasquez@itm.edu.co |
dc.contributor.author.none.fl_str_mv |
Lozada, Juan M Cortés, Lina M. Velasquez Gaviria, Daniel |
dc.subject.keyword.spa.fl_str_mv |
Emerging Markets GARCH event study Latin America Banking industry |
topic |
Emerging Markets GARCH event study Latin America Banking industry |
description |
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. |
publishDate |
2020 |
dc.date.available.none.fl_str_mv |
2020-02-27T15:59:26Z |
dc.date.issued.none.fl_str_mv |
2020-02-19 |
dc.date.accessioned.none.fl_str_mv |
2020-02-27T15:59:26Z |
dc.type.eng.fl_str_mv |
workingPaper info:eu-repo/semantics/workingPaper |
dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_b1a7d7d4d402bcce |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_8042 |
dc.type.local.spa.fl_str_mv |
Documento de trabajo de investigación |
dc.type.hasVersion.eng.fl_str_mv |
draft |
dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/10784/15887 |
dc.identifier.jel.none.fl_str_mv |
C32 G14 G21 G34 |
url |
http://hdl.handle.net/10784/15887 |
identifier_str_mv |
C32 G14 G21 G34 |
dc.language.iso.eng.fl_str_mv |
spa |
language |
spa |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
dc.rights.local.spa.fl_str_mv |
Acceso abierto |
rights_invalid_str_mv |
Acceso abierto http://purl.org/coar/access_right/c_abf2 |
dc.coverage.spatial.eng.fl_str_mv |
Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees |
dc.publisher.spa.fl_str_mv |
Universidad EAFIT |
dc.publisher.department.spa.fl_str_mv |
Escuela de Economía y Finanzas |
institution |
Universidad EAFIT |
bitstream.url.fl_str_mv |
https://repository.eafit.edu.co/bitstreams/d109d6a0-351d-49a8-bf8f-dd7f90817a47/download https://repository.eafit.edu.co/bitstreams/7709d6b5-d78a-46cf-a046-82483197cc18/download |
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repository.name.fl_str_mv |
Repositorio Institucional Universidad EAFIT |
repository.mail.fl_str_mv |
repositorio@eafit.edu.co |
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1818102422751412224 |