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....

This paper evaluates the effect of all European economic news releases to the US financial markets, for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news...

In this paper, we study the impact of Greek government-debt crisis events on European financial markets during the European sovereign debt crisis. We examine the effect of three categories of Greek government-debt crisis events in realized correlation and correlation jumps of government bonds,...

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 4,479 trading days. We apply an asymmetric threshold...

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....

We examine the international impact of recent financial crises on contagion dynamics within international equity portfolios. First, we highlight the importance of macroeconomics for portfolio weighting for each region, and then we examine contagion via a structural regime-switching model and a...