Open Access Journal Article

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

by Moosa Yousuf a,*
a
Salford Business School, University of Salford, Manchester, UK
*
Author to whom correspondence should be addressed.
JEA  2024 3(4):82; https://doi.org/10.58567/jea03040008
Received: 26 October 2023 / Accepted: 27 December 2023 / Published Online: 15 December 2024
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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;
Copyright: © 2024 by Yousuf. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.

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ACS Style
Yousuf, M. The Role of News Sentiments in the Connectedness of GCC Equity Markets. Journal of Economic Analysis, 2024, 3, 82. https://doi.org/10.58567/jea03040008
AMA Style
Yousuf M. The Role of News Sentiments in the Connectedness of GCC Equity Markets. Journal of Economic Analysis; 2024, 3(4):82. https://doi.org/10.58567/jea03040008
Chicago/Turabian Style
Yousuf, Moosa 2024. "The Role of News Sentiments in the Connectedness of GCC Equity Markets" Journal of Economic Analysis 3, no.4:82. https://doi.org/10.58567/jea03040008
APA style
Yousuf, M. (2024). The Role of News Sentiments in the Connectedness of GCC Equity Markets. Journal of Economic Analysis, 3(4), 82. https://doi.org/10.58567/jea03040008

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