Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

被引：9

作者：

Monge, Manuel ^{[1
]}

Alberiko Gil-Alana, Luis ^{[1
]}

机构：

[1] Univ Navarra, Fac Econ, E-31080 Pamplona, Spain

来源：

APPLIED ECONOMICS LETTERS | 2016年 / 23卷 / 10期

关键词：

Mergers and acquisitions; fractional integration; fractional cointegration; oil prices; unit roots; C00; C22; G34; Q40; Q43; TIME-SERIES; UNIT-ROOT;

D O I：

10.1080/13504851.2015.1100245

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 3months after the initial shock.

引用

收藏

页码：701 / 704

页数：4

相关论文

共 11 条

[1] EXPONENTIAL MODEL FOR SPECTRUM OF A SCALAR TIME SERIES [J].

BLOOMFIELD, P .

BIOMETRIKA, 1973, 60 (02) :217-226

[2] EFFICIENT PARAMETER-ESTIMATION FOR SELF-SIMILAR PROCESSES [J].

DAHLHAUS, R .

ANNALS OF STATISTICS, 1989, 17 (04) :1749-1766

[3] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].

DICKEY, DA ;

FULLER, WA .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431

[4]

Diebold F. X., 1989, ADV ECONOMETRICS, V8, P3

[5] Efficient tests for an autoregressive unit root [J].

Elliott, G ;

Rothenberg, TJ ;

Stock, JH .

ECONOMETRICA, 1996, 64 (04) :813-836

[6] TESTING THE NULL HYPOTHESIS OF STATIONARITY AGAINST THE ALTERNATIVE OF A UNIT-ROOT - HOW SURE ARE WE THAT ECONOMIC TIME-SERIES HAVE A UNIT-ROOT [J].

KWIATKOWSKI, D ;

PHILLIPS, PCB ;

SCHMIDT, P ;

SHIN, YC .

JOURNAL OF ECONOMETRICS, 1992, 54 (1-3) :159-178

[7] Semiparametric fractional cointegration analysis [J].

Marinucci, D ;

Robinson, PM .

JOURNAL OF ECONOMETRICS, 2001, 105 (01) :225-247

[8]

PHILLIPS PCB, 1988, BIOMETRIKA, V75, P335, DOI 10.2307/2336182

[9] Mergers and acquisitions in the UK: A disaggregated analysis [J].

Resende, M .

APPLIED ECONOMICS LETTERS, 1996, 3 (10) :637-640

[10] Determination of cointegrating rank in fractional systems [J].

Robinson, PM ;

Yajima, Y .

JOURNAL OF ECONOMETRICS, 2002, 106 (02) :217-241