Furthermore, we investigate the total effects of South African economic news releases with an Asymmetric Power Arch model. We also found a direct reaction to short-term positive/negative stock market news after the global financial crisis. Our findings reveal that the foreign exchange markets in Africa are statistically more prone to larger-scale news. We apply an asymmetric threshold approach with an error-correction model with four dummy variables for both positive/negative and small/large news. The dataset begins on Januand ends on January 20, 2018, for a total of 4479 trading days.
We investigate the asymmetries in the African financial markets both stock and exchanges markets, namely Botswana, Egypt, Kenya, Mauritius and South Africa.
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