Page 89 - Azerbaijan State University of Economics

THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.72, # 1, 2015, pp. 61-94

 be energy sector, engaged in activities related to Oil & Gas products and

services

 be publicly traded on Stock Exchange

 have transaction value greater than $250 million

 have announced only one corporate event during estimation period

The stock prices of all companies in the sample were collected from Datastream

for 300 days prior and 19 days after M&A announcement day.

In order to determine the parametres of the market model (α,β), we have

regressed daily returns of each security on a daily corresponding market index

returns through estimation period utilizing OLS method. For better results, where

possible depending on type of services provided and geographic market coverage

corresponding indexes were utilized. Some examples of indexes used are the

following:

 Dow Jones U.S. Oil & Gas Index

 FTSE 350-OIL & GAS

 NYSE Energy Sector Index

 S&P Asia 50

 SSE Composite (Shanghai Stock Exchange)

 Hang Seng Indexes (Hong Kong Stock Exchange)

 MICEX Index (Moscow Interbank Currency Exchange)

For instance, Dow Jones U.S. Oil & Gas Index evaluates financial performance

of energy sector of U.S equity market. In author‘s opinion this index is most accurate

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