Ultra-dense deployment of small cells is capable of enhancing the cellular network performance in terms of capacity improvement and coverage expansion. However, this deployment results in high interference and frequent handovers, and hence, high-energy consumption is expected. In this study, the authors formulate a non-cooperative game approach in which all base stations compete in a selfish manner to transmit at higher power. Each base station in the network is considered as a player in the game. The solution of the game is obtained by finding the optimal point, namely the Nash equilibrium. The proposed method, named efficient handover game theoretic, targets to manage the handover in dense small cell heterogeneous networks. Each player in the game optimises its payoff by adjusting the transmission power so as to enhance the overall performance in terms of throughput, handover, energy consumption, and load balancing. In order to choose the preferred transmission power for each player, the payoff function takes into account the gain of increasing the transmission power, energy consumption, base station load, and unnecessary handover. The cell selection is performed using the technique for order preference by similarity to an ideal solution (TOPSIS). A game theoretical approach is implemented and evaluated for dense small cell heterogeneous networks to validate the enhancement achieved in the proposed method. Results show that the proposed game theoretical approach provides a throughput enhancement while reducing the power consumption in addition to minimise the unnecessary handover and balance the load between base stations.