Univariate Time Series Behavior of Merger Activity and its Various Components in the United States
Format of Original
Taylor & Francis (Routledge)
Applied Financial Economics
The paper employs unit-root tests to analyse the time-series properties of merger activity and its various components in the United States during 1973:I-1987: IV. The results indicate that the aggregate merger series is integrated of order one. It contains a large permanent or random-walk component. Economic variables have not succeeded in shifting the merger series other than in a random fashion. However, the time-series properties of the various components of the merger series are not uniform. Horizontal and vertical merger series have unit roots, while the conglomerate merger series is stationary.