AI Events, Persistence, and Volatility in US Utility and AI-Exposed Stocks: The AI-Power Channel

This paper examines whether four AI events between 2022 and 2025 - ChatGPT, GPT-4, the EU AI Act vote, and DeepSeek - changed the behaviour of fourteen US-listed stocks. The focus of the analysis is on two utilities that signed power purchase agreements with large AI companies, Constellation Energy and Vistra, which are compared with utilities that did not. The degree of persistence of the price of each stock is estimated in the periods around the events to establish whether it has changed. Volatility changes and whether the market reaction grows or fades across the events are also investigated. The results suggest that the events considered do not affect the degree of persistence of prices; however, they have an impact on their volatility for almost every stock. Among the utilities, only Constellation and Vistra exhibit a persistence shift that survives an adjustment for developments in the wider market, whilst utilities without power purchase agreements do not. Further, the response increases from one event to the next. A specific channel is identified: AI news moves a utility's price mainly when the firm has a contract to sell power to an AI company. However, this evidence is suggestive rather than conclusive.