MACROECONOMIC DETERMINANTS OF STOCK MARKET RETURNS IN THE GULF COOPERATION COUNCIL

The Determinants of US Stock Market Returns

In the literature there are many determinants for the times series of US stock returns. The most notable are: inflation, inflation uncertainty, and the relative change in the value of the US dollar. This paper aims to reconsider and update this research question. Monthly data sets are used with the S&P 500 as the measure of the stock market index, and the US trade-weighted foreign exchange rate...

Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia∗

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related...

Travel Medicine in the Gulf Cooperation Council Countries

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premia∗

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility is stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related to variance swaps, which ar...

The Gulf Cooperation Council States (GCC)1

While much of modern international migration is brought about by political factors due to both civil and international wars, the vast extent of international migration following World War II is comprised of labor migration, legal and illegal alike. Although the current global recession led many developed countries, particularly those of the EU, to tighten control over the inflow of migrant work...