Stock market volatility of regulated industries: an empirical assessment

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.Received: September 2003, Accepted: March 2004, JEL Classification: L51, L97 Correspondence to: Claudio Morana