文章基本信息

标题：Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries
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作者：Kuo-Hao Lee ; Ahmed Elkassabgi ; Wei-Jen Hsieh 等
期刊名称：Review of Economics & Finance
印刷版ISSN：1923-7529
电子版ISSN：1923-8401
出版年度：2014
卷号：4
期号：2
语种：English
出版社：Academic Research Centre of Canada
摘要：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.
关键词：Granger Causality;Volatility;S&P 500;Bootstrap;Simulation