The Role of News Sentiments in the Connectedness of GCC Equity Markets

Moosa Yousuf
Additional contact information
Moosa Yousuf: Salford Business School, University of Salford, Manchester, UK

Journal of Economic Analysis, 2024, vol. 3, issue 4, 136-159

Abstract: This study examines the role of news sentiments in the GCC equity markets’ connectedness. We collected news titles for the period from 22nd June 2006 until 31st December 2020 from Gulf News, which is the most widely read English newspaper in the Arab World. We filter these news titles using a carefully designed list of keywords that capture public sentiment on matters related to financial markets. Next, we classify the news titles to compute the geographically distinguished sentiment indexes that allow for a detailed analysis of the source of news sentiment spillovers to compare the impact of domestic versus regional sentiments on the equity markets of GCC countries. Our quantile regression results reveal that equity markets in the GCC are most sensitive to news sentiments when underperforming. Moreover, our results from the connectedness approach suggest that the UAE equity markets are most influenced by domestic sentiments, whilst the KSA equity market is most influenced by regional sentiments from the other GCC countries. Mixed results are found for other countries. The time-varying component of this study also shows that the influence of news spillovers intensified during the major crises events, including the COVID-19 outbreak.

Keywords: econometrics; international finance; Gulf Cooperation Council; spillover effects; crises handling; macroeconomics; news spillovers; sentiments analysis (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.anserpress.org/journal/jea/3/4/82/pdf (application/pdf)
https://www.anserpress.org/journal/jea/3/4/82 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bba:j00001:v:3:y:2024:i:4:p:136-159:d:287

Access Statistics for this article

Journal of Economic Analysis is currently edited by Ramona Wang

More articles in Journal of Economic Analysis from Anser Press
Bibliographic data for series maintained by Ramona Wang ().