Regulatory uncertainty and the volatility of regional electricity company share prices: The economic consequences of professor littlechild

T. A. Robinson; Mark P. Taylor

doi:10.1111/1467-8586.00049

Regulatory uncertainty and the volatility of regional electricity company share prices: The economic consequences of professor littlechild

T. A. Robinson, Mark P. Taylor

IMP Business Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	37-46
Number of pages	9
Journal	Bulletin of Economic Research
Volume	50
Issue number	1
DOIs	https://doi.org/10.1111/1467-8586.00049
Publication status	Published - Jan 1998

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title = "Regulatory uncertainty and the volatility of regional electricity company share prices: The economic consequences of professor littlechild",

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.",

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AB - 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.

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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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