Economics at your fingertips  

Oil Returns and Volatility: The Role of Mergers and Acquisitions

Martijn Bos (), Riza Demirer (), Rangan Gupta () and Aviral Tiwari ()
Additional contact information
Martijn Bos: Tilburg School of Economics and Management (TISEM), Tilburg University, Tilburg, the Netherlands

No 201775, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper provides a novel perspective to the oil-stock market nexus by examining the predictive ability of mergers and acquisitions (M&A) over West Texas Intermediate (WTI) oil returns and volatility using a nonparametric quantile-based methodology. Our findings suggest that M&A activity carries significant predictive power over oil return and volatility, while predictability displays remarkably distinct patterns across various quantiles representing normal, bull and bear market states. We also observe that M&A activity by oil firms, i.e. both the acquiring and target firms considered active in the oil and gas (O&G) industry, generally carries greater predictive power over both oil returns and volatility compared to M&A activity by non-oil acquirers, i.e. acquirers that have entered the O&G industry by buying an oil company. Our findings imply that M&A activity in the O&G industry carries valuable fundamental information regarding future expectations on oil price dynamics and should be taken into account in forecasting exercises.

Keywords: Oil Returns and Volatility; Mergers and Acquisitions; Oil and Gas Industry; Nonparametric Quantile Causality (search for similar items in EconPapers)
JEL-codes: C22 C58 Q31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2017-10
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Oil returns and volatility: The role of mergers and acquisitions (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

Page updated 2019-10-21
Handle: RePEc:pre:wpaper:201775