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

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.

KEYWORDS:

• Mergers and acquisitions
• fractional integration
• fractional cointegration
• oil prices
• unit roots

JEL CLASSIFICATION:

• C00
• C22
• G34
• Q40
• Q43

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.

Additional information

Funding

Gil-Alana acknowledges financial support from the Ministry of Education of Spain [ECO2014-55236, Spain]. The author gratefully acknowledges financial support from the Asociacion de Amigos, University of Navarra.