Attention and Volatility in Renewable Energy Stocks

Jakub TABAČEK

https://doi.org/10.53465/EDAMBA.2022.9788022550420.470-480

 

Abstract: Under the Efficient Market Hypothesis stock prices should reflect only the fundamental information relevant to the company in question. If other, such as behavioural factors affect the stock price, then this discrepancy should be resolved by the means of arbitrage traders. In our study we look at the effect of retail trader attention on the volatility of renewable energy companies’ stocks. We find that attention, measured by Google Trends, is a good in-sample predictor of next day volatility for a given company’s stock. We later try to explore this anomaly in an out-of-sample study.

Keywords: volatility, behavioural finance, volatility modelling, HAR

JEL classification: G10, G14, G17

Fulltext: PDF

Online publication date: 3 March 2023

ISBN: 978-80-225-5042-0

Publisher: University of Economics in Bratislava

Pages: 470-480

 

To cite this proceedings paper (STN ISO 690 and 690-2):

TABAČEK, J. 2023. Attention and volatility in renewable energy stocks. In LÜLEYOVÁ, A. (ed.). EDAMBA 2022: Conference Proceedings. Bratislava: University of Economics in Bratislava, 2023. ISBN 978-80-225-5042-0, pp. 470-480. https://doi.org/10.53465/EDAMBA.2022.9788022550420.470-480