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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Jury Nikolaev
Analysis of the Impact of M&amp. A on the Dynamics of the Stock Market. Event Analysis on the Stock Market
Financial Engineering
(Master’s programme)
2018
The research based on methods of event analysis in M&A, are often contradictory because of the heterogeneity of the data. The impact of M&a transactions is usually considered in the context of individual companies, rather than the stock market as a whole.

The report analyzes the dynamics of the cumulative average abnormal returns (CAAR) as a result of m&a transactions of companies from the world's largest indices - the USA, Japan, China, the UK and Germany, which will allow to conduct a comparative analysis of the effectiveness of M&a transactions in different macro-regions for the same period. Five hypotheses are tested for significance, including comparing abnormal returns of companies with different capitalization, owned by one or different indices and paid in different ways.

The research consists of four chapters. The first one examines the main provisions, types and motives of mergers and acquisitions. The second Chapter deals with the history of mergers and acquisitions, development prospects and the Russian practice of M&A. In the third Chapter to survey various literature on M&A deals and event analysis. In the last Chapter, calculations, hypothesis testing and research results are made.

The study is conducted using the method of event analysis for the period 2013-2017. Time Windows: (-1 +1), (-5, +5), (-10, +10), (-15, +45).

The presence of abnormal returns in the work is checked using the event analysis method using GARCH (1;1) model for predicting volatility, as well as ARMA(1;1) model for predicting profitability.

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