IMPACT OF MERGER AND ACQUISITION ANNOUNCEMENTS ON STOCK RETURN, STOCK VOLATILITY AND STOCK LIQUIDITY OF ACQUIRERS: EVIDENCE FROM INDIAN BANKING SECTOR

Abstract

This study is an attempt to analyse how stock of acquirer banks behaves during pre and post- merger and acquisition (MA Asimakopoulos and Athanasoglou (2012) results suggest that shareholders of Indian acquirer banks in India generate small and insignificant abnormal returns from integration deals. Return variability is also noticed from the curvy jumps in average abnormal spread of returns during announcement period. These results are in line with findings of Pessanha et al. (2016) and Kamau, (2016). Whereas, average abnormal change in liquidity witnesses a sharp hike on the day 0 i.e. the date of deal announcement and it remains negative through-out the post deal period. These finding are consistent with the findings of Lee and Chung, (2013); Lei and Li, (2013); Lipson and Mortal, (2007). Keywords: Merger, Acquisition, Stock Return, Stock Volatility, Stock Liquidity, Average Abnormal Return, Average Abnormal Liquidity, Average Abnormal Spread, Stock Spread, Event Study Methodology.