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

Comments

At the time of publication, Ahmed Elkassabgi was affiliated with Texas A&M International University.

Creative Commons License
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.

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