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

Andrew Phiri

Post-Print from HAL

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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Business and Economic Horizons, 2017, 13 (1), pp.1 - 9. ⟨10.15208/beh.2017.01⟩

Downloads: (external link)
https://shs.hal.science/halshs-01861727/document (application/pdf)

Related works:
Journal Article: Threshold convergence between the federal fund rate and South African equity returns around the colocation period (2017)
Journal Article: Threshold convergence between the federal fund rate and South African equity returns around the colocation period (2017)
Working Paper: Threshold convergence between the Federal fund rate and South African equity returns around the colocation period (2017)
Working Paper: Threshold convergence between the federal fund rate and South African equity returns around the colocation period (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01861727

DOI: 10.15208/beh.2017.01

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().