The objective of this paper is to empirically assess the stock market reaction to the announcement of bank mergers and acquisitions (M&As) in eight East Asian countries over the 1997-2003 period. M&As are classified according to the status of entity, the time period of the deal and the maturity of the banking system. A bivariate GARCH model is used to estimate abnormal returns taking beta conditional variability into account. We find that the market reacted negatively to M&As during the crisis period (1997-2000) and also in the less mature banking systems (Indonesia, Malaysia, the Philippines, South Korea and Thailand). Copyright 2008 The Authors. Journal compilation 2008 Blackwell Publishing Ltd
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