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Title: The impact of business and political news on the GCC stock markets
Authors: Al-Maadid, A
Caporale, G
Spagnolo, F
Spagnolo, N
Keywords: Business News;GCC countrie;Markov switching Model;Political News
Issue Date: 2019
Publisher: Elsevier
Citation: Research in International Business and Finance, 2019
Abstract: This paper investigates the impact of business and political news on stock market returns in the Gulf Cooperation Council (GCC) countries. For this purpose, it employs a Markov switching model including a separate index for each of the two categories of news considered. The results indicate the importance of news as drivers of GCC stock returns, with business news playing a more substantial role; further, news released in the largest financial markets in the regions are found to have significant cross-border effects.
ISSN: 0275-5319
Appears in Collections:Dept of Economics and Finance Embargoed Research Papers

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