Economic News Releases and Financial Markets in South Africa

Konstantinos Gkillas, Dimitrios Vortelinos (), Christos Floros and Athanasios Tsagkanos
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Konstantinos Gkillas: Department of Business Administration, University of Patras, 26504 Patras, Greece
Athanasios Tsagkanos: Department of Business Administration, University of Patras, 26504 Patras, Greece

Economies, 2019, vol. 7, issue 4, 1-13

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.

Keywords: South Africa; economic news; macro fundamentals (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecomi:v:7:y:2019:i:4:p:112-:d:285205

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