The impact of unproved reserve news on the energy stock volatility: an empirical investigation on Turkey

IF 1.9 Q2 BUSINESS, FINANCE Review of Behavioral Finance Pub Date : 2023-03-29 DOI:10.1108/rbf-12-2022-0291
S. Arzova, Ayben Koy, B. Sahin
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Abstract

PurposeThis study investigates the effect of unproven energy reserve news on the volatility of energy firms' stocks. Thus, investors' perception of unproven energy reserves is revealed. Additionally, the study aims to determine whether the effect of the news changes according to time and volatility level.Design/methodology/approachThe general autoregressive conditional heteroskedasticity (GARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models consist of the energy reserve exploration news in Turkey for the period 2009–2022 and the volatility of 14 energy stocks.FindingsThe results indicate energy exploration news's negative and significant effect on volatility. According to empirical results, energy stock volatility is most affected in the first ten days. Besides, the results show that the significant models of energy reserve news in low-volatility stocks are proportionally higher than in high-volatility stocks.Research limitations/implicationsOnly unproved reserve news is included in the analysis, as sufficient confirmed reserves could not be reached during the sampling period. Further studies can compare proven and unproved reserve news effects. Additionally, a similar analysis can be conducted between Turkey and another country with a similar socio-economic character to examine different investor behaviors.Practical implicationsThis research includes indications on managing investors' reactions to unproven energy reserve news.Originality/valueThis study contributes to the literature by analyzing unproven reserves. Contrary to previous studies, examining stock volatility also makes the study unique.
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未证实储量消息对能源股波动的影响:基于土耳其的实证研究
目的研究未证实的能源储备消息对能源公司股票波动的影响。从而揭示了投资者对未探明能源储量的看法。此外,本研究旨在确定新闻的影响是否随时间和波动水平而变化。设计/方法/方法一般自回归条件异方差(GARCH)和指数广义自回归条件异方差(EGARCH)模型由2009-2022年土耳其能源储量勘探新闻和14种能源股票的波动性组成。结果表明,能源勘探新闻对波动率具有显著的负向影响。实证结果表明,能源股波动在前十天受到的影响最大。此外,研究结果表明,低波动率股票的能源储备新闻显著性模型比例高于高波动率股票。研究限制/影响:由于在抽样期间无法获得足够的确认储量,因此分析中只包括未证实储量的新闻。进一步的研究可以比较已证实和未证实的储备新闻效应。此外,可以在土耳其和另一个具有类似社会经济特征的国家之间进行类似的分析,以检查不同的投资者行为。实际意义本研究包括管理投资者对未经证实的能源储备消息的反应的启示。独创性/价值本研究通过分析未探明储量为文献做出贡献。与以往的研究相反,考察股票波动也使本研究具有独特性。
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来源期刊
Review of Behavioral Finance
Review of Behavioral Finance BUSINESS, FINANCE-
CiteScore
4.70
自引率
5.00%
发文量
44
期刊介绍: Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.
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