Influence of macroeconomic factors on M&A market of the Russian energy industry based on the Granger causality test
The article deals with the influence of various macroeconomic factors on the mergers and acquisitions market of the energy sector of the Russian Federation. The authors assess their impact on transactions in the M&A market, which is measured by two indicators, i.e. average monthly quantity and average monthly cost of transactions, and on efficiency of transactions, which is defined under the cumulative abnormal return (CAR) method. The authors calculate the efficiency as a cumulative abnormal return at five-day and fifteen-day intervals. The authors analyzed monthly data on transactions and macroeconomic factors from January, 2010 to December, 2013 and offered three hypotheses. Namely, about influence of financial markets (equity market and money market), prices for energy resources (oil and gas), and the general condition of the power industry market on the M&A market. The authors used the following methods in the research: the GARCH model to calculate volatility, the Hodrick-Prescott filter to identify the trend, and the Granger causality test to identify interrelations between macroeconomic indicators and parameters of M&A transactions. In addition, the authors assessed the influence of macroeconomic factors using the Granger causality test at various lags from 1 to 10. Studying the time series under the causality test method, the authors confirmed the three hypotheses. They proved the influence of ruble to dollar exchange rate, MICEX index, prices for oil and gas, as well as prices for electricity and electricity generation and consumption on the market of mergers and acquisitions on the whole and on efficiency of such transactions in particular. The characteristic feature of the research is its industry-specific focus. The research results have both theoretical and practical values. The obtained conclusions and proposed recommendations can be useful in arranging merger and acquisition transactions in the energy sector.