Hamza,
From a practical perspective, your question is a political one and will depend on what the "issue" is. Some (most) stakeholders will not want to be informed of every minor issue, but only issues that impact the one of the project baselines, and sometimes then only the schedule or cost baselines. Likewise, they may only require immediate notification for issues that impact the baselines by more than 10-20%. It depends on the organization.
Honestly, for my preparation for the PMP exam, when confronted with the "What do you do first?" questions, most break towards the PM updating something or going to change management first, then informing stakeholders. One of the more savvy moderators should chime in on this for a definitive answer though.
Harry