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

Author

Listed:
  • Nader Alber

    (Ain Shams University)

  • Mayssa Elmofty

    (Pharos University in Alexandria)

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.

Suggested Citation

  • Nader Alber & Mayssa Elmofty, 2025. "The Effect of Google Trends and Social Media Variables on Stock Market Return and Volatility in MENA Countries," Springer Proceedings in Business and Economics,, Springer.
    • Handle: RePEc:spr:prbchp:978-3-031-81532-4_5
    DOI: 10.1007/978-3-031-81532-4_5
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