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政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/12482

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12482

Title:	Antitrust Laws and the Relationship between Mergers Stock Prices and Industrial Production: A Cointegration Approach
Authors:	陳坤銘;饒秀華 Chen,Kun-Ming;Rau,Hsiu-Hua
Keywords:	cointegration;fully modifled vector autogression(FM-VAR);antitrust laws;mergers;stock prices
Date:	2003
Issue Date:	2008-12-03 13:53:19 (UTC+8)
Abstract:	This paper tests Grossman and Hart (1980) hypothesis that antitrust laws such as the Williams Act of 1968 and the Hart–Scott–Rodino Act of 1976 dramatically reduced the impact of stock prices on mergers. Both the cointegrating and the casual relationship between mergers, stock prices, and industrial production are studied. First, our paper supports Nelson`s findings that, while stock prices have impact on mergers, industrial production does not. However, the cointegration relation between stock prices and mergers is unstable. Second, causality testing indicates that the direction of causality has changed from two-way causation before the late 1960s to one way causation from the late 1960s onwards. In particular, stock prices no longer cause mergers after the late 1960s due to changes in antitrust laws. Hence, the evidence supports Grossman and Hart`s hypothesis.
Relation:	Journal of Industry Competition and Trade, 3, 27-40
Data Type:	article
DOI link:	http://dx.doi.org/10.1023/A:1025474302636
DOI:	10.1023/A:1025474302636
Appears in Collections:	[Department of International Business] Periodical Articles

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