Affiliations: [a] Department of Statistics and Data Analysis, National Research University Higher School of Economics, Moscow, Russia | [b] Department of Mathematical Methods in Economics, Nosov Magnitogorsk State Technical University, Magnitogorsk, Russia
Correspondence:
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Corresponding author: Mariia Karelina, Department of Mathematical Methods in Economics, Nosov Magnitogorsk State Technical University, Moscow, Russia. E-mail:Marjyshka@mail.ru
Abstract: This paper presents an empirical analysis of the Russian market of mergers
and acquisitions (the largest market for corporate control in Central and
Eastern Europe) in 2003-2012 in terms of the total volume and value of the
merger and acquisition deals of the holding companies. This analysis allowed
for the conclusion that, to assess and forecast the integration activity of
holding companies, the most precise and appropriate models are seasonal
autoregressive integrated moving average models built on weighted
observations to eliminate the effect of the structural changes which are
characteristic of developing economies. Forecasting the values of
development of the market for corporate control may serve as ``input''
information to form a prompt regulation system for the mergers and
acquisitions of holding companies, which meets current needs. The presented
analysis makes it possible to work out measures of public policy to increase
the efficiency of the integration activity of holding companies.
Keywords: Harmonic analysis, autoregressive integrated moving average (ARIMA) models, forecasting, mergers and acquisitions (M&A), structural change
