Economic news releases and financial markets in South Africa

Artikel

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 detected and estimated as in . The impact of the announcements is assessed building on the study by . Returns, volatility and jumps of both stock and foreign exchange markets are significantly explained nationally by macroeconomic fundamentals and economic news releases.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Economies ; ISSN: 2227-7099 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-13 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; General Financial Markets: Government Policy and Regulation ; International Financial Policy: Financial Transactions Tax; Capital Controls
• Thema: economic news ; macro fundamentals ; South Africa

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gillas, Konstantinos Gkillas ; Vortelinos, Dimitrios I. ; Floros, Christos ; Tsagkanos, Athanasios
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3390/economies7040112
• Handle: http://hdl.handle.net/10419/257044
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ