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Regulatory uncertainty and the volatility of regional electricity company share prices : the economic consequences of Professor Littlechild
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Robinson, T. A. and Taylor, Mark P. (1997) Regulatory uncertainty and the volatility of regional electricity company share prices : the economic consequences of Professor Littlechild. Bulletin of Economic Research, 50 (1). pp. 37-46. doi:10.1111/1467-8586.00049 ISSN 0307-3378.
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Official URL: http://dx.doi.org/10.1111/1467-8586.00049
Abstract
This paper attempts to measure the effects of regulatory intervention by measuring the conditional variance of stock price changes in the 12 UK regional electricity companies before and after an unexpected intervention by the electricity regulator in March 1995. The analysis uses an ARCH model in which the conditional variance follows an autoregressive formation. The results indicate a significant increase in the volatility of the conditional variance for eight of the 12 companies.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Bulletin of Economic Research | ||||
Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
ISSN: | 0307-3378 | ||||
Official Date: | 1997 | ||||
Dates: |
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Volume: | 50 | ||||
Number: | 1 | ||||
Page Range: | pp. 37-46 | ||||
DOI: | 10.1111/1467-8586.00049 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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