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Stock market volatility of regulated industries : an empirical assessment

2004-12Journal article Restricted access
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dc.contributor.authorMorana, Claudio
dc.contributor.authorSawkins, John W.
dc.date.accessioned2018-05-28T10:13:25Z
dc.date.available2018-05-28T10:13:25Z
dc.date.issued2004-12
dc.description.abstractThis 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationMorana, Claudio e John W. Sawkins (2004). "Stock market volatility of regulated industries : an empirical assessment". Portuguese Economic Journal, 3(3):189-204pt_PT
dc.identifier.doi10.1007/s10258-004-0030-2pt_PT
dc.identifier.issn1617-982X (print)
dc.identifier.issn1617-9838 (online)
dc.identifier.urihttp://hdl.handle.net/10400.5/15502
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringer Verlagpt_PT
dc.subjectRegulationpt_PT
dc.subjectUtilitypt_PT
dc.subjectVolatilitypt_PT
dc.subjectFractional cointegrationpt_PT
dc.subjectLong memory processespt_PT
dc.titleStock market volatility of regulated industries : an empirical assessmentpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.conferencePlaceLisboapt_PT
oaire.citation.endPage204pt_PT
oaire.citation.issue3pt_PT
oaire.citation.startPage189pt_PT
oaire.citation.titlePortuguese Economic Journalpt_PT
oaire.citation.volume3pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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Portuguese Economic Journal, 2004, Volume 3, Nº 3