Abstract
Financial markets provide a means for the exchange and trade of various financial instruments. Within these financial markets, market participants interact with one another in the trade of various financial instruments. However, the financial markets are competitive and unpredictable. Given this, risk and volatility are important concepts for market participants to understand. The United States of America (US) is widely known as one of the strongest and biggest economies in the world. US macroeconomic announcements are among the most important contributors to stock market returns and the volatility within stock markets – especially from a developing market perspective. The Johannesburg Stock Exchange (JSE) is the financial market of focus. This study aims to investigate the impact of US macroeconomic news announcements on the JSE – the macroeconomic news announcements used are concerning Gross Domestic Product (GDP), Inflation, Interest Rates and Unemployment. This impact will be investigated using volatility modelling (ARCH, GARCH, TGARCH and EGARCH models), paired with an event study to add robustness to the results obtained from the volatility modelling. The results obtained from the three GARCH models indicated that US macroeconomic news announcements made in relation to unemployment and interest rates were statistically significant at a 5% level, with a negative and positive impact on the JSE, respectively. This conclusion was further backed by the event study in which announcements that were made in August 2008 (during the global financial crisis) were found to have a statistically significant impact on the JSE...