Fractional Integration and Cointegration in Merger and Acquisitions in the US Petroleum Industry
Authors
Manuel Monge
Luis A. Gil-Alaña
Type
Article
Journal
Applied Economics Letters, Vol. 23, Issue 10
Pages
701-704
Country
United States
Date
01-01-2016
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.

Article.