TEPCO’s (Tokyo Electric Power Co Holdings) Stock Behaviour in the Long Run

Sophie Nivoix () and Serge Rey
Additional contact information
Sophie Nivoix: CEREGE [Poitiers, La Rochelle] - Centre de recherche en gestion [EA 1722] - UP - Université de Poitiers = University of Poitiers - ULR - La Rochelle Université, CPER INSECT - CPER "INnovation Sociale, Economique et Culturelle dans des Territoires en mutation" (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers [UAR 3565] - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: Noting the huge impact of the Fukushima accident on TEPCO's (Tokyo Electric Power Co Holdings) activity and stock price, this study investigates the long-run patterns of returns and volatility of its stock, relative to the main return and volatility features of the Nikkei 225 over the past 30 years. The best fitting volatility for both series comes from an asymmetric power GARCH model; the standard deviation of volatility does not depend primarily on large innovations. For the Nikkei, large negative changes are not more clustered than positive changes. A regime-switching correlation model with three states reveals that a high correlation regime is the most frequent for TEPCO, with low switching probability, whereas the regime associated with the Fukushima crisis is less persistent. A strong interaction arises between the less common regimes, but the stable, low volatility regime appears mostly independent. In two regimes, the Nikkei returns have significant and negative effects on TEPCO returns, but the reverse is not true. The Fukushima environmental and industrial crisis thus could spark a new energetic era in Japan, including a real transition toward more environmentally friendly electric power.

Keywords: Regime-switching model; Electric utility companies; Earthquake; Volatility; Risk; Japan; Stock market; MS-VAR model (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Published in Transition Studies Review, 2017, 24 (2), pp.45-62. ⟨10.14665/1614-4007-24-2-005⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: TEPCO’s (Tokyo Electric Power Co Holdings) Stock Behaviour in the Long Run (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01885279

DOI: 10.14665/1614-4007-24-2-005

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().