Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries

Kuo-Hao Lee (), Ahmed Elkassabgi and Wei-Jen Hsieh
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Kuo-Hao Lee: Department of Finance, College of Business, Bloomsburg University of Pennsylvania, U.S.A.
Ahmed Elkassabgi: A.R. Sanchez Jr. School of Business, Texas A&M International University, U.S.A.
Wei-Jen Hsieh: Department of Mathematics, Statistics & Computer Science, College of Science and Technology Bloomsburg University of Pennsylvania, U.S.A.

Review of Economics & Finance, 2014, vol. 4, 15-22

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.

Keywords: Granger Causality; Volatility; S&P 500; Bootstrap; Simulation (search for similar items in EconPapers)
JEL-codes: C10 C15 C32 G14 (search for similar items in EconPapers)
Date: 2014
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