Autori
Morana, Claudio
Sawkins, John W.

Titolo
Stock market volatility of regulated industries: an empirical assessment
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2003 - Volume: 03 - Fascicolo: 62 - Pagina iniziale: 1 - Pagina finale: 29

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 conditional approach, we identify volatility components characterised by different degrees of persistence, bearing different economic interpretations, and identify common and idiosyncratic volatility features of regulated industries. Our findings suggest that there are close parallels between electricity and water sectors when set against the gas sector: both in terms of break processes and break-free volatility processes. We offer an interpretation of the findings in terms of industrial structure and regulatory activity.




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