The Impact of Business and Political News on the GCC Stock Markets
33 Pages Posted: 21 Feb 2019
Date Written: 2018
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.
Keywords: business news, GCC countries, Markov switching model, political news
JEL Classification: C320, F360, G150
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