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HOW DID THE ASIAN STOCK MARKETS REACT TO BANK MERGERS AFTER THE 1997 FINANCIAL CRISIS?
Author(s) -
Crouzille Céline,
Lepetit Laetitia,
Bautista Carlos
Publication year - 2008
Publication title -
pacific economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.34
H-Index - 33
eISSN - 1468-0106
pISSN - 1361-374X
DOI - 10.1111/j.1468-0106.2008.00395.x
Subject(s) - bivariate analysis , financial crisis , economics , stock (firearms) , mergers and acquisitions , stock market , autoregressive conditional heteroskedasticity , financial system , maturity (psychological) , financial economics , business , finance , macroeconomics , volatility (finance) , geography , statistics , context (archaeology) , mathematics , archaeology , psychology , developmental psychology
. The objective of this paper is to empirically assess the stock market reaction to the announcement of bank mergers and acquisitions (M&As) in eight East Asian countries over the 1997–2003 period. M&As are classified according to the status of entity, the time period of the deal and the maturity of the banking system. A bivariate GARCH model is used to estimate abnormal returns taking beta conditional variability into account. We find that the market reacted negatively to M&As during the crisis period (1997–2000) and also in the less mature banking systems (Indonesia, Malaysia, the Philippines, South Korea and Thailand).