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Googling Investor’s Sentiment: Powerful Measure in Conventional and Islamic MENA Financial Markets

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  • Yousra Trichilli
  • Mouna Abdelhédi
  • Mouna Boujelbène Abbes

Abstract

The objective of this paper is to investigate whether investors' sentiment measured by the Internet search behavior constitutes a valid measure of investor’s sentiment on Islamic and conventional indexes of emerging and frontier financial markets in MENA countries. In fact, we examine the relation between googling investor’s sentiment and monthly Islamic and conventional index returns during the period 2004–2016. Using the Dynamic Conditional Correlation, the BEKK-GARCH and the wavelet coherence models, we confirm that googling investor’s sentiment is a perfect indicator of investor’s sentiment measure. Indeed, we find that this measure has the ability to reflect major events such as subprime financial crisis, oil crisis and Arab spring revolution affecting MENA Islamic and conventional index markets. Our finding indicates that investors can use googling investor’s sentiment as an indicator to predict returns and volatility of emerging and frontier markets since it reflects the behavior and emotions of investors in MENA financial markets.

Suggested Citation

  • Yousra Trichilli & Mouna Abdelhédi & Mouna Boujelbène Abbes, 2018. "Googling Investor’s Sentiment: Powerful Measure in Conventional and Islamic MENA Financial Markets," International Economic Journal, Taylor & Francis Journals, vol. 32(3), pages 454-469, July.
    • Handle: RePEc:taf:intecj:v:32:y:2018:i:3:p:454-469
    DOI: 10.1080/10168737.2018.1522055
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    Cited by:

    1. Oumayma GHARBI & Yousra TRICHILI & Mouna BOUJELBENE ABBES, 2022. "Impact of the COVID-19 pandemic on the relationship between uncertainty factors, investor’s behavioral biases and the stock market reaction of US Fintech companies," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 101-122, June.
    2. Khan, Muhammad Asif & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency relationship between household investors’ sentiment index and US industry stock returns," Finance Research Letters, Elsevier, vol. 36(C).
    3. Trichilli, Yousra & Abbes, Mouna Boujelbène & Masmoudi, Afif, 2020. "Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis," Research in International Business and Finance, Elsevier, vol. 51(C).

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