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Contagion effects in the electric utility industry following the Fukushima nuclear accident

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  • Houdou Basse Mama
  • Alexander Bassen

Abstract

This article examines intra-industry information transfers in the European and Japanese electric industry in the wake of the Fukushima nuclear accident. For European conventional utilities, the downward price drift is relatively small and transient in nature. Yet, we find positive and lingering effects of the accident on the shares of alternative electric utilities. Japanese utilities were hit the hardest and the shock seems to be long-lasting. An interesting finding of this article is the abrupt increase (decrease) in the systematic risk of conventional (alternative) electric utilities following the event. In Europe, we could only document a decrease in the idiosyncratic risk of conventional utilities, pointing to enhanced return synchronicity in the conventional power industry. In turn, total risk seems to be stationary around the accident. In rebuttal, idiosyncratic and systematic risks (and consequently total risk) have substantially risen in Japan since the event. Finally, intercept values related to European utilities remained stable around the accident while Japanese utilities incurred a substantial decline in their daily average returns as captured by alpha shifts.

Suggested Citation

  • Houdou Basse Mama & Alexander Bassen, 2013. "Contagion effects in the electric utility industry following the Fukushima nuclear accident," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3421-3430, August.
  • Handle: RePEc:taf:applec:v:45:y:2013:i:24:p:3421-3430
    DOI: 10.1080/00036846.2012.714072
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    References listed on IDEAS

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    Cited by:

    1. Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2020. "The impact of industrial incidents on stock market volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
    2. Zhe Ouyang & Jiuchang Wei & Dingtao Zhao, 2017. "Stock market’s reaction to self-disclosure of work safety accidents: an empirical study in China," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(4), pages 1611-1626, July.
    3. Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
    4. Sandrine Boulerne & Jean-Philippe Lafontaine & Bruno Pecchioli, 2016. "Fukushima, quel impact sur les entreprises françaises cotées de la filière de production d'électricité d'origine nucléaire ?," Post-Print hal-01902423, HAL.
    5. Welsch, Heinz, 2016. "Electricity Externalities, Siting, and the Energy Mix: A Survey," International Review of Environmental and Resource Economics, now publishers, vol. 10(1), pages 57-94, November.
    6. Liu, Haiyan & Ferreira, Susana & Karali, Berna, 2015. "Hurricanes as News? A Comparison of the Impact of Hurricanes on Stock Returns of Energy Companies," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196845, Southern Agricultural Economics Association.
    7. Bigerna, Simona & Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2017. "Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P1), pages 199-211.
    8. Lopatta, Kerstin & Kaspereit, Thomas, 2014. "The cross-section of returns, benchmark model parameters, and idiosyncratic volatility of nuclear energy firms after Fukushima Daiichi," Energy Economics, Elsevier, vol. 41(C), pages 125-136.
    9. Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2018. "Chemical industry disasters and the sectoral transmission of financial market contagion," Research in International Business and Finance, Elsevier, vol. 46(C), pages 490-501.

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