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Threshold convergence between the federal fund rate and South African equity returns around the colocation period

Andrew Phiri

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Abstract: Using weekly data collected from 20.09.2008 to 09.12.2016, this paper uses dynamic threshold adjustment models to demonstrate how the introduction of high-frequency and algorithmic trading on the Johannesburg Stock Exchange (JSE) has altered convergence relations between the federal fund rate and equity returns for aggregate and disaggregate South African market indices. We particularly find that for the post-crisis period, the JSE appears to operate more efficiently, in the weak-form sense, under high frequency trading platforms. JEL Classifications: C32, C51, C52, E44, E52

Keywords: threshold cointegration; global financial crisis; Johannesburg Stock Exchange (JSE); Federal fund rates; equity returns; Colocation; high frequency trading (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-mac and nep-mst
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01861727
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Published in Business and Economic Horizons, 2017, 13 (1), pp.1 - 9. ⟨10.15208/beh.2017.01⟩

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Journal Article: Threshold convergence between the federal fund rate and South African equity returns around the colocation period (2017) Downloads
Journal Article: Threshold convergence between the federal fund rate and South African equity returns around the colocation period (2017) Downloads
Working Paper: Threshold convergence between the Federal fund rate and South African equity returns around the colocation period (2017) Downloads
Working Paper: Threshold convergence between the federal fund rate and South African equity returns around the colocation period (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01861727

DOI: 10.15208/beh.2017.01

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