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Economic News Releases and Financial Markets in South Africa

Author

Listed:
  • Konstantinos Gkillas

    () (Department of Business Administration, University of Patras, 26504 Patras, Greece)

  • Dimitrios Vortelinos

    () (Lincoln Business School, University of Lincoln, Lincoln LN5 7AT, UK)

  • Christos Floros

    () (Department of Accounting and Finance, School of Management and Economic Sciences, Hellenic Mediterranean University, 71004 Heraklion, Greece)

  • Athanasios Tsagkanos

    () (Department of Business Administration, University of Patras, 26504 Patras, Greece)

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.

Suggested Citation

  • Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Athanasios Tsagkanos, 2019. "Economic News Releases and Financial Markets in South Africa," Economies, MDPI, Open Access Journal, vol. 7(4), pages 1-13, November.
  • Handle: RePEc:gam:jecomi:v:7:y:2019:i:4:p:112-:d:285205
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    South Africa; economic news; macro fundamentals;
    All these keywords.

    JEL classification:

    • E - Macroeconomics and Monetary Economics
    • F - International Economics
    • I - Health, Education, and Welfare
    • J - Labor and Demographic Economics
    • O - Economic Development, Innovation, Technological Change, and Growth
    • Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics

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