International Journal of Application or Innovation in Engineering & Management
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ISSN 2319 – 4847
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Call for Paper, Published Articles, Indexing Infromation Stock Price Volatility Estimators in Merger Announcement –An Empirical Analysis, Authors : S.Parimala, Dr. S. Kalaiselvi , International Journal of Application or Innovation in Engineering & Management (IJAIEM), www.ijaiem.org
Volume & Issue no: Volume 4, Issue 10, October 2015

Title:
Stock Price Volatility Estimators in Merger Announcement –An Empirical Analysis
Author Name:
S.Parimala, Dr. S. Kalaiselvi
Abstract:
ABSTRACT The purpose of this study is to estimate the stock price volatility with respect to merger announcement using an event study methodology. Merger announcements do not significantly alter the trading liquidity and pricing efficiency of the sample stocks. However, return volatility does decline on post event basis. It is also observed that while stock financed mergers are value creating, cash financed mergers seem to be value destroying in the short run. Specifically, this study analyzed the effects of service and manufacturing industries in mergers announcements the stock price volatility in India. Volatility as a measure of risk plays an important role in many financial decisions in such a situations. The main purpose of this study is to examine the volatility of the merger announcement period and its related stylized facts using Garman and Klass estimators. Keywords: Mergers And Acquisitions, Event Study Analysis, Garman And Klass Estimators
Cite this article:
S.Parimala, Dr. S. Kalaiselvi , " Stock Price Volatility Estimators in Merger Announcement –An Empirical Analysis " , International Journal of Application or Innovation in Engineering & Management (IJAIEM), Volume 4, Issue 10, October 2015 , pp. 058-065 , ISSN 2319 - 4847.
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