Bos, MartijnDemirer, RizaGupta, RanganTiwari, Aviral Kumar2018-04-172018-03Bos, M., Demirer, R., Gupta, R. & Tiwari, A.K. 2018,'Oil returns and volatility: The role of mergers and acquisitions', Energy Economics, vol. 71, pp. 62-69.0140-9883 (print)1873-6181 (online)10.1016/j.eneco.2018.01.034http://hdl.handle.net/2263/64593This paper provides a novel perspective to the oil-stock market nexus by examining the predictive ability of mergers and acquisitions (M&A) over West Texas Intermediate (WTI) oil returns and volatility using a nonparametric quantile-based methodology. Our findings suggest that M&A activity carries significant predictive power over oil return and volatility, while predictability displays remarkably distinct patterns across various quantiles representing normal, bull and bear market states. We also observe that M&A activity by oil firms, i.e. both the acquiring and target firms considered active in the oil and gas (O&G) industry, generally carries greater predictive power over both oil returns and volatility compared to M&A activity by non-oil acquirers, i.e. acquirers that have entered the O&G industry by buying an oil company. Our findings imply that M&A activity in the O&G industry carries valuable fundamental information regarding future expectations on oil price dynamics and should be taken into account in forecasting exercises.en© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy Economics, vol. 71, pp. 62-69, 2018. doi : 10.1016/j.eneco.2018.01.034.Mergers and acquisitions (M&A)Oil returns and volatilityOil and gas industryNonparametric quantile causalityWest Texas intermediate (WTI)Predictive powerPredictive abilitiesOil companiesBull and bear marketsCrude oilCommercePostprint Article