Contagion Effects in the Electric Utility Industry Following the Fukushima Nuclear Accident

29 Pages Posted: 5 Nov 2012

See all articles by Houdou Basse Mama

Houdou Basse Mama

ESCP Europe

Alexander Bassen

University of Hamburg; University of Reading - ICMA Centre

Date Written: April 16, 2012


This paper examines intra-industry information transfers in the European and Japanese electric industry in the wake of the Fukushima nuclear accident. For European conventional utilities, the downward price drift is relatively small and transient in nature. Yet, we find positive and lingering effects of the accident on the shares of alternative electric utilities. Japanese utilities were hit the hardest and the shock seems to be long-lasting. An interesting finding of the paper is the abrupt increase (decrease) in the systematic risk of conventional (alternative) electric utilities following the event. In Europe, we could only document a decrease in the idiosyncratic risk of conventional utilities, pointing to enhanced return synchronicity in the conventional power industry. In turn, total risk seems to be stationary around the accident. In rebuttal, idiosyncratic and systematic risks (and consequently total risk) have substantially risen in Japan since the event. On the other hand, intercept values related to European utilities remained stable around the accident while Japanese utilities incurred a substantial decline in their daily average returns as captured by alpha shifts. Our results about the stability of the risk-return profile of the sample firms around the event are robust to a number of specifications.

Keywords: nuclear accidents, intra-industry information transfers, event parameter model, parameter shifts

JEL Classification: G14, K23

Suggested Citation

Basse Mama, Houdou and Bassen, Alexander, Contagion Effects in the Electric Utility Industry Following the Fukushima Nuclear Accident (April 16, 2012). 29th International Conference of the French Finance Association (AFFI) 2012, Available at SSRN: or

Houdou Basse Mama (Contact Author)

ESCP Europe ( email )

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Berlin, 14059

Alexander Bassen

University of Hamburg ( email )

Von-Melle-Park 5
20146 Hamburg

University of Reading - ICMA Centre ( email )

Whiteknights Park
P.O. Box 242
Reading RG6 6BA
United Kingdom

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