This paper studies the impact of political instability on stock market dynamics by comparing the interaction between market returns, volatility and investor sentiments before and after the Tunisian revolution. The results of the estimation of simultaneous equations — GMM 2S method — linking...

Purpose This paper examines the impact of political instability on the investors' behavior, measured by Google search queries, and on the dynamics of stock market returns. Design/methodology/approach First, by using the DCC-GARCH model, the authors examine the effect of investor sentiment on the...