Author:
Trichilli Yousra,Abbes Mouna Boujelbène,Zouari Sabrine
Abstract
PurposeThis paper examines the impact of political instability on the investors' behavior, measured by Google search queries, and on the dynamics of stock market returns.Design/methodology/approachFirst, by using the DCC-GARCH model, the authors examine the effect of investor sentiment on the Tunisian stock market return. Second, the authors employ the fully modified dynamic ordinary least square method (FMOL) to estimate the long-term relationship between investor sentiment and Tunisian stock market return. Finally, the authors use the wavelet coherence model to test the co-movement between investor sentiment measured by Google Trends and Tunisian stock market return.FindingsUsing the dynamic conditional correlation (DCC), the authors find that Google search queries index has the ability to reflect political events especially the Tunisian revolution. In addition, empirical results of fully modified ordinary least square (FMOLS) method reveal that Google search queries index has a slightly higher effect on Tunindex return after the Tunisian revolution than before this revolution. Furthermore, by employing wavelet coherence model, the authors find strong comovement between Google search queries index and return index during the period of the Tunisian revolution political instability. Moreover, in the frequency domain, strong coherence can be found in less than four months and in 16–32 months during the Tunisian revolution which show that the Google search queries measure was leading over Tunindex return. In fact, wavelet coherence analysis confirms the result of DCC that Google search queries index has the ability to detect the behavior of Tunisian investors especially during the period of political instability.Research limitations/implicationsThis study provides empirical evidence to portfolio managers that may use Google search queries index as a robust measure of investor's sentiment to select a suitable investment and to make an optimal investments decisions.Originality/valueThe important research question of how political instability affects stock market dynamics has been neglected by scholars. This paper attempts principally to fill this void by investigating the time-varying interactions between market returns, volatility and Google search based index, especially during Tunisian revolution.
Subject
General Materials Science
Reference48 articles.
1. The impact of Arab spring on stock market performance;British Journal of Economics, Management & Trade,2013
2. Transmission shocks between Chinese financial market and oil market;International Journal of Emerging Markets,2019
3. Political stability and the foreign direct investment , inflows in Pakistan;British Journal of Arts and Social Sciences,2012
4. Volatility in emerging stock markets;The Journal of Financial and Quantitative Analysis,1999
5. Behavioural and cardiovascular effects of 75% CO2 in human volunteers;Depression and Anxiety,2005
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献