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Economic News Releases and Financial Markets in South Africa

Economies, 2019

Posted: 3 Apr 2017 Last revised: 4 Nov 2019

See all articles by Konstantinos Gkillas

Konstantinos Gkillas

University of Patras - Department of Management Science and Technology

Dimitrios I. Vortelinos

University of Lincoln; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Christos Floros

Technological Educational Institute of Crete

Athanasios Tsagkanos

University of Patras - Business Administration

Date Written: June 20, 2016

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 (Andersen et al., 2012). Jumps are detected and estimated as in Duong and Swanson (2015). The impact of the announcements is assessed building on the study by Huang et al. (2015). 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, Macrofundamentals

JEL Classification: G15, G18, F38

Suggested Citation

Gkillas, Konstantinos and Vortelinos, Dimitrios I. and Floros, Christos and Tsagkanos, Athanasios, Economic News Releases and Financial Markets in South Africa (June 20, 2016). Economies, 2019, Available at SSRN: https://ssrn.com/abstract=2944407 or http://dx.doi.org/10.2139/ssrn.2944407

Konstantinos Gkillas (Contact Author)

University of Patras - Department of Management Science and Technology ( email )

Megalou Aleksandrou 1
Koukouli, Patras, 26334
Greece

HOME PAGE: http://https://dept.upatras.gr

Dimitrios I. Vortelinos

University of Lincoln ( email )

Brayford Pool
Lincoln, Lincolnshire LN6 7TS
United Kingdom
0044(0)1522835634 (Phone)

HOME PAGE: http://www.lincoln.ac.uk/lbs/staff/3005.asp

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

Christos Floros

Technological Educational Institute of Crete ( email )

Department of Accounting & Finance
School of Management & Economics
Heraklion, Crete GR 71004
Greece

Athanasios Tsagkanos

University of Patras - Business Administration ( email )

Patras
Greece

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