FLUCTUATIONS IN MACROECONOMIC NEWS AND THEIR IMPACT ON THE STOCK MARKET: EVIDENCE FROM THE TUNISIAN TURBULENT PERIODS

This paper investigates the impact of a broad set of economic and non-economic news on stock prices during the most stressful period of Tunisia’s multidimensional crisis (2011–2015). Using a two-stage econometric framework — Vector Autoregression (VAR) to isolate unanticipated shocks and Autoregressive Distributed Lag (ARDL) to analyze their effects — the research finds that traditional macroeconomic variables (e.g. interest rates, inflation, industrial production) lack significant long-term influence on stock returns. However, short-term dynamics reveal that unexpected monetary policy changes, inflationary shocks, and negative political events significantly affect market returns, with investors reacting more strongly to adverse political news. Sovereign credit rating downgrades also show persistent negative effects. The findings highlight the dominance of short-term volatility and political instability over long-term fundamentals in Tunisia’s fragile financial market, underscoring the decoupling of equity returns from macroeconomic conditions during crises. For crisis-hit emerging markets, policymakers must prioritize political stability and transparent monetary communication over traditional macroeconomic fixes, as short-term shocks and sovereign downgrades disproportionately drive market volatility compared to long-term fundamentals.