The impact of business and political news on the GCC stock markets

被引：16

作者：

Al-Maadid, Alanoud ^{[1
]}

Caporale, Guglielmo Maria ^{[2
]}

Spagnolo, Fabio ^{[2
]}

Spagnolo, Nicola ^{[2
,3
]}

机构：

[1] Qatar Univ, Coll Econ & Finance, Doha, Qatar

[2] Brunel Univ London, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England

[3] Australian Natl Univ, CAMA, Canberra, ACT, Australia

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2020年 / 52卷

关键词：

Business news; GCC countries; Markov switching Model; Political news; MACRO NEWS; SENTIMENT; RETURNS; BOND;

D O I：

10.1016/j.ribaf.2019.101102

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：17

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