The Effect of Google Trends and Social Media Variables on Stock Market Return and Volatility in MENA Countries

Nader Alber and Mayssa Elmofty
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Nader Alber: Ain Shams University
Mayssa Elmofty: Pharos University in Alexandria

A chapter in Transformational Trends in Finance, Banking, and Economics, 2025, pp 85-109 from Springer

Abstract: Abstract This chapter tries to investigate the effects of Google trends and social media variables as a source of big data on stock market price and return volatility in the Middle East and North Africa (MENA) countries. This has been conducted using daily, weekly, and monthly data from 12 stock market indices (Bahrain, Egypt, Iraq, Israel, Jordan, Lebanon, Morocco, Oman, Palestine, Saudi Arabia, Tunisia, and the United Arab of Emirates) during the period between 2011 and 2021, using panel analysis according to ordinary least square (OLS) pooled, fixed effects, and random effects models. The empirical results report the existence of significant effects of each of Google trends and social media variables on stock market price volatility. However, results have not supported any significant effect of Google trends or social media variables on stock market return.

Keywords: Google search volume; Google trends; Negative mentions; Neutral mentions; Positive mentions; Social media variables (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-031-81532-4_5

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DOI: 10.1007/978-3-031-81532-4_5

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