A time series analysis of causality between aggregate merger and stock prices: the case of Canada
- 1 July 1995
- journal article
- research article
- Published by Taylor & Francis in Applied Economics
- Vol. 27 (7), 563-568
- https://doi.org/10.1080/00036849500000044
Abstract
It is widely agreed that a positive relationship exists between measures of aggregate merger activity and measures of stock market performance, at least for the USA. Evidence from other countries is relatively sparse. in this paper we pursue the causality question using Canadian data. Most of the previous studies used only a bivariate system (merger and stock prices). We have extended the analysis to trivariate system (merger, stock prices and interest rate) to better reflect the capital market conditions argument for changes in merger activity. The results suggest a bidirectional causality between mergers and stock prices.Keywords
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