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Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries

Author

Listed:
  • Kuo-Hao Lee

    (Department of Finance, College of Business, Bloomsburg University of Pennsylvania, U.S.A.)

  • Ahmed Elkassabgi

    (A.R. Sanchez Jr. School of Business, Texas A&M International University, U.S.A.)

  • Wei-Jen Hsieh

    (Department of Mathematics, Statistics & Computer Science, College of Science and Technology Bloomsburg University of Pennsylvania, U.S.A.)

Abstract

The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test developed by Hacker and Hatemi-J (2006) to examine the behavior of the volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other industries, except the Information Technology and Telecommunication Services industries. The data also suggest that Financials industry has impact on the Utilities industry.

Suggested Citation

  • Kuo-Hao Lee & Ahmed Elkassabgi & Wei-Jen Hsieh, 2014. "Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 15-22, May.
    • Handle: RePEc:bap:journl:140202
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Granger Causality; Volatility; S&P 500; Bootstrap; Simulation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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