 Mergers and acquisitions waves in the UK: a Markov-switching approachApplied Financial Economics, 2008, vol. 18, issue 13, 1067-1074 Abstract: This article further investigated wave behaviours for mergers and acquisitions - M&A in the UK during the 1969Q1/2004Q1 period by means of Markov-Switching models. Previous analysis had focussed on traditional models that incorporate the potentially limiting assumption of constant transition probabilities across regimes. The consideration of more general models with time-varying transition probabilities across regimes along the lines of Diebold et al. (1994) provide a useful route for assessing to what extent M&A waves are driven by economic variables usually considered in the related literature. The empirical implementation considered lagged conditioning variables referring to real output growth, real growth in money supply and real stock market returns. The evidence indicated that one should reject the constant transition probability model in favour of the time-varying transition probability model and therefore the usual aggregate variables considered in the empirical literature on M&A indeed appear to play some role in determining the wave behaviour of M&A in the UK, though the effects are asymmetric across the different regimes. Date: 2008 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:18:y:2008:i:13:p:1067-1074 Ordering information: This journal article can be ordered from DOI: 10.1080/09603100701408155 Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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