The impact of business and political news on the GCC stock markets |
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| Affiliation: | 1. College of Economics and Finance, Qatar University, Doha, Qatar;2. Department of Economics and Finance, Brunel University London, UK;3. Centre for Applied Macroeconomic Analysis (CAMA), Australian National University, Australia |
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| 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. |
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| Keywords: | Business news GCC countries Markov switching Model Political news |
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