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Stock market volatility of regulated industries: an empirical assessment

Author

Listed:
  • Claudio Morana

    (University of Piemonte Orientale)

  • John W. Sawkins

    (Heriot-Watt University)

Abstract

. 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 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.

Suggested Citation

  • Claudio Morana & John W. Sawkins, 2004. "Stock market volatility of regulated industries: an empirical assessment," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 3(3), pages 189-204, December.
    • Handle: RePEc:spr:portec:v:3:y:2004:i:3:d:10.1007_s10258-004-0030-2
    DOI: 10.1007/s10258-004-0030-2
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    Cited by:

    1. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets : A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland, Institute for Economies in Transition.
    2. repec:zbw:bofitp:2011_024 is not listed on IDEAS
    3. Sina Badreddine & Ephraim Clark, 2021. "The asymmetric effects of industry specific volatility in momentum returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6444-6458, October.
    4. Xiaoyue Chen & Bin Li & Andrew C. Worthington, 2022. "Realised volatility and industry momentum returns," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-12, December.
    5. Muradoğlu, Yaz Gülnur & Sivaprasad, Sheeja, 2012. "Capital structure and abnormal returns," International Business Review, Elsevier, vol. 21(3), pages 328-341.
    6. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland Institute for Emerging Economies (BOFIT).

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