Fractional integration and cointegration in merger and acquisitions in the US petroleum industry |
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| Authors: | Manuel Monge Luís Alberiko Gil-Alana |
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| Affiliation: | Faculty of Economics, University of Navarra, Pamplona, Spain |
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| Abstract: | This article employs methodologies based on fractional integration and cointegration to analyse the time-series properties of merger and acquisitions (M&A) activity and crude oil prices in the US from 1980 to 2012. Our results indicate that an increase in the crude oil price produces a significant increase in the M&A data between 2 and 3 months after the initial shock. |
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| Keywords: | Mergers and acquisitions fractional integration fractional cointegration oil prices unit roots |
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