The Impact of Business and Political News on the GCC Stock Markets
Guglielmo Maria Caporale,
Fabio Spagnolo and
No 7353, CESifo Working Paper Series from CESifo Group Munich
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 (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7353
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