Chung-Hua Shen () (Department and Graduate Institute of Finance, National Taiwan University) Shyh-Wei Chen () (Department of Finance, Da-Yeh University) Mei-Rong Lin () (Department of Money and Banking, National Chengchi University)
Abstract
This paper investigates whether or not there is co-waved merger and acquisition (M&A) activity in 26 OECD countries. We apply the Markov Switching model to panel data (MSP hereafter), an approach which has not previously been attempted. Two distinct regimes are recognized in emerge from M&A data: the wave merger regime and normal merger regime. Our MSP captures the co-wave pattern of the sample countries and has a much better fit than either the univariate Markov Switching model or the conventional linear panel model.
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.
Find related papers by JEL classification: G3 - Financial Economics - - Corporate Finance and Governance C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Lending cycles,"
Journal of Econometrics,
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[Downloadable!] (restricted)
Other versions:
Patrick K. Asea & S. Brock Blomberg, 1997.
"Lending Cycles,"
NBER Working Papers
5951, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)