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

Journal Transition Studies Review

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Title TEPCO’s (Tokyo Electric Power Co Holdings) Stock Behaviour in the Long Run
 
Creator Nivoix, Sophie
Rey, Serge
 
Subject
Stock market;Japan;Risk;Volatility;Earthquake;Electric utility companies;Regime-switching model; MS-VAR model
C1;C24;C32;G00;G01
 
Description 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.
 
Publisher Journal Transition Studies Review
 
Contributor
 
Date 2018-02-04
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion

 
Format application/pdf
 
Identifier http://transitionacademiapress.org/jtsr/article/view/196
10.14665/1614-4007-24-2-005
 
Source Journal Transition Studies Review; Vol 24, No 2 (2017); 45-62
1614-4015
1614-4007
 
Language eng
 
Relation http://transitionacademiapress.org/jtsr/article/view/196/128
 
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