This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...

We assess the effect of the oil price slump of 2014–2016 on the stock markets of the GCC countries and the four largest oil importers: China, Japan, India, and South Korea. We find that compared to the pre-slump period negative oil price changes had larger effects on equity prices in oil...