Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185551
Authors: 
Al-Maadid, Alanoud
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Year of Publication: 
2018
Series/Report no.: 
CESifo Working Paper No. 7353
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.
Subjects: 
business news
GCC countries
Markov switching model
political news
JEL: 
C32
F36
G15
Document Type: 
Working Paper

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