Browsing by Author "Morana, Claudio"
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- Stock market volatility of regulated industries : an empirical assessmentPublication . Morana, Claudio; Sawkins, John W.This paper analyses stock market volatility for the regulated electricity, gas and water utility industries in the UK for the period 1991 - 2002. Using a condi- tional approach, we decompose stock market volatility in components characterised by different degrees of persistence and bearing different economic interpretations. In particular, we identify common and idiosyncratic persistent volatility features of regulated industries and offer an interpretation of the findings in terms of industrial structure and regulatory activity.