This paper models the London stock market's response to the 1994 Periodic Review of prices in the English and Welsh water industry using both GARCH and stochastic volatility models. The results indicate that a significant reduction in the volatility of share prices for eight of the ten water and...

In this paper we analyse the effects of regulatory activity - specifically periodic price reviews in the English and Welsh water industry - using information on share price volatility. In controlling for different volatility components we identify and discuss general market, industry and firm...

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...