Abstract
Business cycle models involve exploiting movements of the economy to gain competitive advantage over rivals. Business cycles are applicable to mergers and acquisitions (M&A) which occur in waves. Econometricians have attempted to model these waves. The paper demonstrates that, with respect to each of several major stylized facts about business cycles, the seasonal cycle displays the same characteristics as the business cycle. Therefore the patterns in merger and acquisitions measured as merger waves could be investigated using seasonality models. Using a modified seasonal unit root procedure we model the cyclical behaviour in the quarterly M&A data from 2000 to 2010 for Turkey. Our analysis is based on the methodology developed by Hylleberg, Engle, Granger and Yoo (HEGY procedure). Based upon an empirical analysis of the merger and acquisition variables, our results indicate that seasonal unit roots appear to deal value, number of deals with known value variables when possible structural changes in one or more seasons during the 2001 and 2008 crisis years have been taken into account.
Key words: Merger and acquisitions, Turkish economy, Hylleberg, Engle, Granger and Yoo (HEGY) seasonal unit root test, deterministic seasonality, structural breaks.
