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Asymmetries in the African financial markets

Author

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  • Gkillas, Konstantinos
  • Vortelinos, Dimitrios I.
  • Suleman, Tahir

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.

Suggested Citation

  • Gkillas, Konstantinos & Vortelinos, Dimitrios I. & Suleman, Tahir, 2018. "Asymmetries in the African financial markets," Journal of Multinational Financial Management, Elsevier, vol. 45(C), pages 72-87.
    • Handle: RePEc:eee:mulfin:v:45:y:2018:i:c:p:72-87
    DOI: 10.1016/j.mulfin.2018.04.004
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    Cited by:

    1. Chunling Li & Khansa Pervaiz & Muhammad Asif Khan & Faheem Ur Rehman & Judit Oláh, 2019. "On the Asymmetries of Sovereign Credit Rating Announcements and Financial Market Development in the European Region," Sustainability, MDPI, vol. 11(23), pages 1-14, November.
    2. Roudari, Soheil & Ahmadian- Yazdi, Farzaneh & Namazizadeh, Ehsan & Chenarani, Hasan, 2025. "بررسی عملکرد مدیریت سرمایه گذاری در وزارت تعاون، کار و رفاه اجتماعی: شواهدی جدید از هلدینگ¬های تابعه [Assessment of Investment Management Performance in the Ministry of Cooperatives, Labor, and Soc," MPRA Paper 126954, University Library of Munich, Germany.
    3. Chenarani, Hasan & Roudari, Soheil, 2025. "اولویت بندی واگذاری بنگاه¬های اقتصادی زیر مجموعه صندوق¬های بازنشستگی با تاکید بر مدیریت سرمایه¬گذاری: شواهدی جدید از رویکرد DCC-GARCH R2 decomposed connectedness [Prioritizing the Divestment of Pen," MPRA Paper 126973, University Library of Munich, Germany, revised 14 Oct 2025.
    4. Stoupos, Nikolaos & Kiohos, Apostolos, 2019. "Scandinavia: Towards the European Monetary Union?," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 278-291.
    5. Roudari, Soheil & Jalili, Esmaeil & Omidi, Vahid, 2023. "مدیریت سبد سرمایه¬گذاری در صنعت پالایشگاهی: بررسی شرایط با بازدهی مثبت و منفی: رویکرد Asymmetric TVP-VAR [Portfolio Management in the Refining Industry: Investigating Conditions with Positive and N," MPRA Paper 127026, University Library of Munich, Germany, revised 05 Jan 2024.
    6. Roudari, Soheil & Ahmadi, Ali Mohammad & Omidi, Vahid, 2023. "بررسی ساز و کار انتقال ریسک آنی در سبد سرمایه¬گذاری با استفاده از رویکرد R2 Connectedness: شواهدی از شرکت سرمایه¬گذاری صندوق بازنشستگی کشور [Examining the mechanism of Contemporaneous risk transmis," MPRA Paper 127024, University Library of Munich, Germany, revised 18 May 2024.
    7. Roudari, Soheil, 2024. "Optimal Investment Portfolio and Time‑Varying Risk Hedging: New Evidence from Currency, Stock, Gold Coin, and Housing Markets," MPRA Paper 126952, University Library of Munich, Germany.
    8. Roudari, Soheil, 2024. "بررسی رابطه علی پویا میان بازار سهام و سایر بازارهای دارایی: شواهدی جدید از الگوی Rolling- Window Bootstrap Causality [Dynamic Causal Relationships Between the Stock Market and Other Asset Markets:," MPRA Paper 126972, University Library of Munich, Germany.
    9. Omidi, Vahid & Roudari, Soheil & Jamshidi, Amir, 2023. "بررسی ارتباط بین گروه بانکها، خودرو، سیمان، فلزات اساسی و فرآورده های نفتی در بورس اوراق بهادار تهران به تفکیک شرایط با بازدهی مثبت و منفی با استفاده از الگوی Asymmetric TVP-VAR [Investigating The ," MPRA Paper 127027, University Library of Munich, Germany, revised 16 Nov 2023.

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    Keywords

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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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