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.
Notes
1 We considered aggregated data of the daily number of M&A data from 1980 to 2012.
2 The database was in nominal prices, and we deflated to real prices, using 2011 as the base year.
3 These results are available from the authors upon request.
4 Note that more dynamics are obtained throughout the autocorrelated structure from the I(0) error term.