Examining daily stock volatility in the Greek banking sector: Insights into mergers and acquisitions influence

The paper explores the intrinsic implications of mergers and acquisitions (M&As) on stock returns volatility, concentrating on the market reaction to bad or good news of the four major systemic banks of Greece spanning from 2006 to 2022. Employing the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model, the empirical study uncovers varied findings in terms of leverage effects and financial resilience across all banks and through subperiods surrounding the M&As. Across most examined banks, negative market news has a stronger impact on volatility than positive news, highlighting the asymmetric nature of market reactions. In the post-merger period, the National Bank of Greece shows a moderated response, indicating increased market efficiency and stability towards strategic M&As. Piraeus Bank and Alpha Bank, focusing on domestic acquisitions, display similar volatility trends, with Alpha Bank quickly adapting to new information. Eurobank Ergasias, in contrast, exhibits an unusual positive leverage effect post-merger, suggesting that positive events now heighten volatility more than negative ones. This deviation may signal market optimism, potentially spurred by successful strategic moves outside the Greek banking sector.