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Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

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  • Manuel Monge
  • Luís Alberiko Gil-Alana

Abstract

This article employs methodologies based on fractional integration and cointegration to analyse the time-series properties of merger and acquisitions (M&A) activity and crude oil prices in the US from 1980 to 2012. Our results indicate that an increase in the crude oil price produces a significant increase in the M&A data between 2 and 3 months after the initial shock.

Suggested Citation

  • Manuel Monge & Luís Alberiko Gil-Alana, 2016. "Fractional integration and cointegration in merger and acquisitions in the US petroleum industry," Applied Economics Letters, Taylor & Francis Journals, vol. 23(10), pages 701-704, July.
    • Handle: RePEc:taf:apeclt:v:23:y:2016:i:10:p:701-704
    DOI: 10.1080/13504851.2015.1100245
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    Cited by:

    1. Bos, Martijn & Demirer, Riza & Gupta, Rangan & Tiwari, Aviral Kumar, 2018. "Oil returns and volatility: The role of mergers and acquisitions," Energy Economics, Elsevier, vol. 71(C), pages 62-69.
    2. Guo, Yue & Yang, Yu & Wang, Chang, 2021. "Global energy networks: Geographies of mergers and acquisitions of worldwide oil companies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 139(C).
    3. Jungseok Park & Jungho Baek, 2019. "The Asymmetric Response of Mergers and Acquisitions in the North American Oil and Gas Industry to Oil Price Changes," Review of Economics & Finance, Better Advances Press, Canada, vol. 15, pages 23-30, February.

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