Stock market volatility of regulated industries : an empirical assessment

Detalhes bibliográficos
Autor(a) principal: Morana, Claudio
Data de Publicação: 2004
Outros Autores: Sawkins, John W.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/15502
Resumo: 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 condi- tional 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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spelling Stock market volatility of regulated industries : an empirical assessmentRegulationUtilityVolatilityFractional cointegrationLong memory processesThis paper analyses stock market volatility for the regulated electricity, gas and water utility industries in the UK for the period 1991 - 2002. Using a condi- tional 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.Springer VerlagRepositório da Universidade de LisboaMorana, ClaudioSawkins, John W.2018-05-28T10:13:25Z2004-122004-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15502engMorana, Claudio e John W. Sawkins (2004). "Stock market volatility of regulated industries : an empirical assessment". Portuguese Economic Journal, 3(3):189-2041617-982X (print)10.1007/s10258-004-0030-2metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:27Zoai:www.repository.utl.pt:10400.5/15502Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:08.338637Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Stock market volatility of regulated industries : an empirical assessment
title Stock market volatility of regulated industries : an empirical assessment
spellingShingle Stock market volatility of regulated industries : an empirical assessment
Morana, Claudio
Regulation
Utility
Volatility
Fractional cointegration
Long memory processes
title_short Stock market volatility of regulated industries : an empirical assessment
title_full Stock market volatility of regulated industries : an empirical assessment
title_fullStr Stock market volatility of regulated industries : an empirical assessment
title_full_unstemmed Stock market volatility of regulated industries : an empirical assessment
title_sort Stock market volatility of regulated industries : an empirical assessment
author Morana, Claudio
author_facet Morana, Claudio
Sawkins, John W.
author_role author
author2 Sawkins, John W.
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Morana, Claudio
Sawkins, John W.
dc.subject.por.fl_str_mv Regulation
Utility
Volatility
Fractional cointegration
Long memory processes
topic Regulation
Utility
Volatility
Fractional cointegration
Long memory processes
description 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 condi- tional 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.
publishDate 2004
dc.date.none.fl_str_mv 2004-12
2004-12-01T00:00:00Z
2018-05-28T10:13:25Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/15502
url http://hdl.handle.net/10400.5/15502
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Morana, Claudio e John W. Sawkins (2004). "Stock market volatility of regulated industries : an empirical assessment". Portuguese Economic Journal, 3(3):189-204
1617-982X (print)
10.1007/s10258-004-0030-2
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer Verlag
publisher.none.fl_str_mv Springer Verlag
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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