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The Impact of Business and Political News on the GCC Stock Markets

Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

No 7353, CESifo Working Paper Series from CESifo Group Munich

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.

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
Date: 2018
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