Publikation:

Market Response to European Commission's Merger Decisions

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DA_AnnaKalbhenn.pdf
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Datum

2005

Autor:innen

Kalbhenn, Anna

Herausgeber:innen

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-22004
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Urheberrechtlich geschützt

Angaben zur Forschungsförderung

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Open Access-Veröffentlichung
Open Access Green

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Politik- und Verwaltungswissenschaft: Publikationen
Core Facility der Universität Konstanz

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Titel in einer weiteren Sprache

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Masterarbeit/Diplomarbeit
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Published

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Zusammenfassung

The aim of this paper is to show whether there are sizeable market reactions to decisions by the European Commission on proposed business combinations. To this end, I present a model on market reactions to decisions within the scope of the Merger Regulation, asserting that information arrival has a non-negligible impact on both stock returns and market volatility. This conjecture is challenged by empirical stock market data on individual firms' stock returns preceding and following different decisions by DG competition.


Using an event study approach, I can show that as far as stock returns are concerned there is a clear impact of certain types of decisions on financial markets. Further, the application of exponential generalized autoregressive conditional heteroskedasicity (EGARCH) models reveals volatility reactions to uncertain decisions; the effect of anticipation on event induced volatility, however, being less distinct than level reactions.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
320 Politik

Schlagwörter

Politische Ereignisse, Finanzmärkte, political events, financial markets, event data analysis, merger regulation, volatility

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ISO 690KALBHENN, Anna, 2005. Market Response to European Commission's Merger Decisions [Master thesis]
BibTex
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  year={2005},
  title={Market Response to European Commission's Merger Decisions},
  author={Kalbhenn, Anna}
}
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