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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
  • Taylor, Mark P

Abstract

This paper attempt 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. Copyright 1998 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Suggested Citation

  • Robinson, T A & Taylor, Mark P, 1998. "Regulatory Uncertainty and the Volatility of Regional Electricity Company Share Prices: The Economic Consequences of Professor Littlechild," Bulletin of Economic Research, Wiley Blackwell, vol. 50(1), pages 37-46, January.
    • Handle: RePEc:bla:buecrs:v:50:y:1998:i:1:p:37-46
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    Cited by:

    1. Gioia Pescetto, 2007. "Regulation and systematic risk: the case of the water industry in England and Wales," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 61-73.
    2. Tobias Kretschmer & Hans-Ulrich Küpper & Burkhard Pedell, 2011. "Bedingungen und Prinzipien einer konsistenten Regulierung," Schmalenbach Journal of Business Research, Springer, vol. 63(64), pages 1-31, January.
    3. Kashi, Bahman, 2015. "Risk management and the stated investment costs by independent power producers," Energy Economics, Elsevier, vol. 49(C), pages 660-668.
    4. Bahman Kashi, 2014. "Risk Management and the Stated Capital Costs by Independent Power Producers," Development Discussion Papers 2014-03, JDI Executive Programs.
    5. Helen Higgs & Andrew C. Worthington, 2005. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 23-42.

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