Van der Westhuizen, Elizabeth-Ann; Brummer, L.M., 1940-; Van Schalkwyk, Cornelis Hendrik
(NISC Pty (Ltd) and Informa Limited (trading as Taylor and Francis Group), 2024)
A reverse event study approach was used to investigate how the South African sovereign bond yield curve reacts to headline news. The change in daily yields, calculated as the difference between the natural log of zero-coupon ...