 Asymmetries in the African financial marketsKonstantinos Gkillas (Gillas) (), Dimitrios I. Vortelinos and Tahir Suleman () Journal of Multinational Financial Management, 2018, vol. 45, issue C, 72-87 Abstract: We investigate the asymmetries in the African financial markets; both stock and exchanges markets, namely Botswana, Egypt, Kenya, Mauritius and South Africa. The dataset begins on January 1, 2001 and ends on January 20, 2018, for a total of 4479 trading days. We apply an asymmetric threshold approach with an error-correction model with four dummy variables for both positive/negative and small/large news. Our findings reveal that the foreign exchange markets in Africa are statistically more prone to larger-scale news. We also found a direct reaction to short-term positive/negative stock market news after the global financial crisis. Furthermore, we investigate the total effects of South African economic news releases with an Asymmetric Power Arch model. Our findings suggest substantial discrepancy, which belong to the Southern African Development Community and Common Market for Eastern and Southern Africa free trade area. SADC stock markets are strongly affected by the economic news releases from South Africa. Keywords: Economic news; Stock market news; Foreign exchange market; African financial markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:45:y:2018:i:c:p:72-87 DOI: 10.1016/j.mulfin.2018.04.004 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.