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Stock market volatility of regulated industries: an empirical assessment

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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.

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Authors and Affiliations

  1. Faculty of Economics, University of Piemonte Orientale, Via Perrone 18, 28100, Novara, Italy

    Claudio Morana

  2. Department of Economics, School of Management and Languages, Heriot-Watt University, EH14 4AS, Scotland, UK

    John W. Sawkins

Authors
  1. Claudio Morana
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  2. John W. Sawkins
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Corresponding author

Correspondence to Claudio Morana.

Additional information

Received: September 2003, Accepted: March 2004,

JEL Classification:

L51, L97

Correspondence to: Claudio Morana

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Cite this article

Morana, C., Sawkins, J.W. Stock market volatility of regulated industries: an empirical assessment. Portuguese Economic Journal 3, 189–204 (2004). https://doi.org/10.1007/s10258-004-0030-2

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  • DOI: https://doi.org/10.1007/s10258-004-0030-2

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