Document Type
Article
Publication Date
2014
Department
School of Business
Abstract
The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test developed by Hacker and Hatemi-J (2006) to examine the behavior of the volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other industries, except the Information Technology and Telecommunication Services industries. The data also suggest that Financials industry has impact on the Utilities industry.
First Page
15
Last Page
22
Volume
4
Issue
2
ISSN
19238401, 19237529
Recommended Citation
Lee, Kuo-Hao; Elkassabgi, Ahmed Y.; and Hseih, Wei-Jen, "Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries" (2014). Faculty Publications -School of Business. 129.
https://orc.library.atu.edu/faculty_pub_bus/129
Included in
Business Administration, Management, and Operations Commons, Finance and Financial Management Commons
Comments
At the time of publication, Ahmed Elkassabgi was affiliated with Texas A&M International University.
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Original Citation:
Lee, K., Elkassabgi, A., & Hseih, W. (2014). Volatility of the utilities industry: Its causal relationship to other nine industries. Review of Economics and Finance, 4(2): 15-22.