摘要：The objective of this research was to investigate the effects caused by the announcement of mergers
of SBI and its associate banks i.e. State Bank of Bikaner and Jaipur (SBBJ), State Bank of Hyderabad
(SBH), State Bank of Mysore (SBM), State Bank of Patiala (SBP) and State Bank of Travancore
(SBT) with State Bank of India on the volatility of the return of SBI stock during the event
window of 300 days. In order to achieve the proposed objective, this study applied Generalized
autoregressive conditional heteroscedasticity (Garch) class model to the return series to model their
volatility because it is considered an important tool for time series data analysis. Our results confirmed
the impact of the announcement of Merger on volatility. The results suggest that merger
announcement was expected to cause a reaction in the returns, which is related to higher abnormal
return in lesser time through merger announcement for investors.
