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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Dmitry Filatov
Analysis of the Impact of Merger and Acquisition Events on the Stock Market Dynamics
9
2016
The results of researches based on an event study methodology in M&A efficiency analysis are often quite controversial due to lack of data’s comparability. The impact of mergers and acquisitions on stock markets is usually considered in relation to the individual companies, rather than to stock markets as a whole.

In this study cumulative average abnormal returns are analyzed for the five stock indexes of major macro-regions: USA, Japan, South Africa, Australia, UK). Such approach makes it possible to compare the performance of M&A deals in different countries for the same period. Also, there are three more additional hypotheses, which include analysis of the effect on CAAR of M&A deal’s factors, such as a method of payment, companies capitalization and whether companies are in the same index or not.

The first chapter examines the types of M&A deals and the main reasons for their implementation. In the second chapter there is an overview of the history of mergers and acquisitions. Third chapter is the literature review. And the fourth chapter provides a description of data used in the study, posing hypotheses and results.

The method used in this paper is an event study. Period of analysis is from 2008 to 2015 year for windows (-1 +1), (-5, +5), (-10, +10), (-5, +49).

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