A carregar...
Publicação
Stock market volatility of regulated industries : an empirical assessment
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 180.17 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Regulation Utility Volatility Fractional cointegration Long memory processes
Contexto Educativo
Citação
Morana, Claudio e John W. Sawkins (2004). "Stock market volatility of regulated industries : an empirical assessment". Portuguese Economic Journal, 3(3):189-204
Editora
Springer Verlag