Stock market volatility of regulated industries : an empirical assessment

Morana, Claudio; Sawkins, John W.

http://hdl.handle.net/10400.5/15502

Use this identifier to reference this record.

Name:	Description:	Size:	Format:
pej_3_3_2004_2.pdf		180.17 KB	Adobe PDF	Download

Send Feedback

Authors

Morana, Claudio

Sawkins, John W.

Abstract(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.

Keywords

Regulation Utility Volatility Fractional cointegration Long memory processes

URI

http://hdl.handle.net/10400.5/15502

Citation

Morana, Claudio e John W. Sawkins (2004). "Stock market volatility of regulated industries : an empirical assessment". Portuguese Economic Journal, 3(3):189-204