Gillas, Konstantinos Gkillas; Vortelinos, Dimitrios I.; … - In: Economies 7 (2019) 4, pp. 1-13
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....