The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline

Ka Wai Terence Fung and Wilson Wan

MPRA Paper from University Library of Munich, Germany

Abstract: This paper attempts to examine the impact of merger and acquisition on Value at Risk (VaR) of China Eastern Airline. The VaR is estimated for the whole sample and pre-merger periods by three methods: RiskMetrics , AR-GARCH and Generalized Extreme Value (GEV). The regression-based model reports the highest VaR followed by RiskMetrics and GEV. All models report a low VaR after the 11 June, 2009 merger, indicating a negative impact of merger and acquisition on VaR.

Keywords: Value at Risk; merger and acquisition; GARCH (search for similar items in EconPapers)
JEL-codes: G11 G3 G34 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ore, nep-rmg, nep-tra and nep-tre
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:52568

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