Gkillas, Konstantinos and Vortelinos, Dimitrios and Floros, Christos and Tsagkanos, Athanasios (2019) Economic News Releases and Financial Markets in South Africa. Economies, 7 (4). p. 112. ISSN 2227-7099
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Abstract
We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014. Results are robust to different sub-periods before and after the global financial crisis of 2008. Volatility is estimated with the use of the median realized variance estimator. Jumps are also detected. The impact of the announcements is assessed building using regression techniques. Returns, volatility and jumps of both stock and foreign exchange markets are significantly explained nationally by macroeconomic fundamentals and economic news releases.
Item Type: | Article |
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Subjects: | South Asian Archive > Multidisciplinary |
Depositing User: | Unnamed user with email support@southasianarchive.com |
Date Deposited: | 27 Jun 2023 06:20 |
Last Modified: | 05 Jun 2024 10:18 |
URI: | http://article.journalrepositoryarticle.com/id/eprint/1268 |