scholarly journals Economic News Releases and Financial Markets in South Africa

2016 ◽  
Author(s):  
Dimitrios I. Vortelinos ◽  
Konstantinos Gkillas
Keyword(s):  
South Africa ◽  
Financial Markets ◽  
Economic News ◽  
News Releases

scholarly journals Economic News Releases and Financial Markets in South Africa

Economies ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 112
Author(s):  
Konstantinos Gkillas ◽  
Dimitrios Vortelinos ◽  
Christos Floros ◽  
Athanasios Tsagkanos
Keyword(s):  
South Africa ◽  
Foreign Exchange ◽  
Global Financial Crisis ◽  
Foreign Exchange Markets ◽  
Economic News ◽  
News Releases ◽  
Before And After ◽  
Exchange Markets ◽  
The Global Financial Crisis ◽  
The Impact

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.

scholarly journals The effect of the european economic news releases to the US financial markets in the crisis period

2016 ◽  
Vol 13 (4) ◽  
pp. 33-57 ◽  
Author(s):  
Dimitrios Vortelinos ◽  
Konstantinos Gkillas
Keyword(s):  
Financial Markets ◽  
Finite Sample ◽  
Detection Scheme ◽  
European Economic ◽  
Crisis Period ◽  
Economic News ◽  
News Releases ◽  
The Us ◽  
Sharpe Ratios ◽  
Volatility Jumps

This paper evaluates the effect of all European economic news releases on 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 release. Sharpe ratios are examined with the risk of the excess returns being estimated by the flat-top Bartlett kernel estimator of Barndorff-Nielsen et al. (2008) with an optimal (in a finite sample) choice for the number of autocovariances, as suggested by Bandi and Russell (2011). Volatility jumps are detected according to the jump detection scheme of Ait-Sahalia and Jacod (2009). Keywords: European economic news releases,crisis; macroeconomic variables, Sharpe ratio,jumps. JEL Classification: G01, G15

Last hour momentum in the Chinese stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lu Yang
Keyword(s):  
Trading Volume ◽  
Trading Strategy ◽  
Chinese Stock Market ◽  
Content Type ◽  
Order Imbalance ◽  
Economic News ◽  
News Releases ◽  
Retail Investors ◽  
High Volatility ◽  
Exchange Traded Fund

PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.Design/methodology/approachIn this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.FindingsOverall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.Originality/valueNoise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

scholarly journals A Historical Overview of the Regulation of Market Abuse in South Africa

2017 ◽  
Vol 17 (3) ◽  
pp. 971
Author(s):  
Howard Chitimira
Keyword(s):  
South Africa ◽  
Financial Markets ◽  
South African ◽  
Insider Trading ◽  
Stock Exchanges ◽  
Market Manipulation ◽  
Historical Overview ◽  
The South ◽  
Market Abuse ◽  
Overview Analysis

In an early attempt to combat market abuse in the South African financial markets, legislation such as the Companies Act, the Financial Markets Control Act and the Stock Exchanges Control Act were enacted. However, these Acts failed to effectively curb market abuse activities that were allegedly rife in the financial markets. Consequently, the Insider Trading Act was enacted and came into effect on 17 January 1999. While the introduction of the Insider Trading Act brought some confidence in the financial markets, market abuse activities were still not extinguished. The provisions of the Insider Trading Act were to some extent inadequate and ineffectively implemented. Eventually, the Securities Services Act was enacted to repeal all the flawed provisions of the Insider Trading Act. Notwithstanding these efforts on the part of the legislature, more may still need to be done to increase the number of convictions and settlements in cases involving market abuse in South Africa. It is against this background that a historical overview analysis of the regulation of market abuse is carried out in this article to expose the flaws that were previously embedded in the South African market abuse laws prior to 2004. This is done to raise awareness of the situation on the part of the relevant stakeholders, as they consider whether such flaws were adequately resolved or subsequently re-introduced under the Securities Services Act and the Financial Markets Act. To this end, the article firstly discusses the historical development and regulation of market manipulation prior to 2004. Secondly, the regulation and enforcement of insider trading legislation prior to 2004 are examined. Moreover, where possible, certain flaws of the previous market abuse laws that were re-incorporated into the current South African market abuse legislation are isolated and recommendations are made in that regard.

Financialization in South Africa

2021 ◽  
pp. 1012-1030
Author(s):  
Ewa Karwowski
Keyword(s):  
Social Sciences ◽  
South Africa ◽  
Financial Markets ◽  
South African ◽  
Emerging Economies ◽  
Global South ◽  
Value Chains ◽  
Financial Centre ◽  
The Social

Financialization has become a popular concept across the social sciences, usually defined as the increasing role of financial motives, financial markets, financial actors, and financial institutions in the operation of the domestic and international economies. Financialization researchers highlight the detrimental consequences of an excessively large and powerful financial sector on economy and society. In South Africa, financialization has been shaped by its colonial and apartheid past, especially the strong links of South African corporations and banks to the international financial centre of London. Low growth and investment, an outcome of the finance-led accumulation regime, have also resulted in the continuity of extreme inequality and high levels of unemployment. In the Global South, financialization mainly affects emerging economies since they possess relatively developed financial markets in comparison to poorer countries. South Africa is the only African economy for which there is a substantial financialization literature. In comparison to other emerging economies, South Africa is relatively strongly financialized as stock market capitalization is extremely high, making Johannesburg one of the top financial centres in the Global South. Furthermore, financial inflows into the country are comparatively large, JSE-listed companies are well integrated into global value chains and household debt is high.

A Step towards the Harmonization of the Regulation of Financial Misconduct in BRICS: A Comparison of the Chinese and South African Regimes for the Prohibition of Insider Dealing

2018 ◽  
Vol 62 (3) ◽  
pp. 351-376
Author(s):  
Herbert Kawadza
Keyword(s):  
South Africa ◽  
Financial Markets ◽  
South African ◽  
Insider Trading ◽  
Regulatory Environment ◽  
Insider Dealing ◽  
Financial Misconduct ◽  
Regulatory Convergence

AbstractWith the growing globalization of financial markets comes the need for regulatory convergence as well as standardization of the enforcement of the regulatory environment. Aligning regulatory approaches is crucial in empowering market players to maximize the regulatory benefits provided by foreign jurisdictions and platforms. Attaining that objective necessitates an understanding of the existing regulatory setting by comparing the approaches adopted by different jurisdictions. This article seeks to understand the strategies and mechanisms adopted by two of the most strategically linked nations within the BRICS bloc, China and South Africa, regarding insider trading regulation and its enforcement. What emerges suggests that, while these jurisdictions recognize the threat that insider trading poses to the integrity of their markets, they face serious resourcing and political challenges that weaken regulatory and enforcement efforts aimed at reducing incidence of the offence.

Option volume and volatility response to scheduled economic news releases

2003 ◽  
Vol 23 (4) ◽  
pp. 315-345 ◽  
Author(s):  
John R. Nofsinger ◽  
Brian Prucyk
Keyword(s):  
Economic News ◽  
News Releases ◽  
Option Volume
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