Research Article
Stock Volatility around Bank merger announcements: Evidence from India
@INPROCEEDINGS{10.4108/eai.7-12-2021.2315105, author={Srividya V and Shripria J and Sekkizhar J and Raksha S}, title={Stock Volatility around Bank merger announcements: Evidence from India}, proceedings={Proceedings of the First International Conference on Combinatorial and Optimization, ICCAP 2021, December 7-8 2021, Chennai, India}, publisher={EAI}, proceedings_a={ICCAP}, year={2021}, month={12}, keywords={merger acquisition volatility stock return merger announcement}, doi={10.4108/eai.7-12-2021.2315105} }- Srividya V
Shripria J
Sekkizhar J
Raksha S
Year: 2021
Stock Volatility around Bank merger announcements: Evidence from India
ICCAP
EAI
DOI: 10.4108/eai.7-12-2021.2315105
Abstract
This study examines the effect of bank merger announcements during post liberalization regime in India based on stock return and stock volatility. A Sample of 24 merger announcements from 2000 to 2019 among Indian banks are examined over an event window of 500 days. The GARCH model is used to analyze the volatility of stock returns around the announcement of mergers. This study examines the changes occurring in the acquiring banks on the basis of Stock price volatility exploring the idea of how an investor can earn the returns against the market. The findings show possibility of positive returns for shareholders of acquiring banks after the mergers.
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