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

Andrew Phiri ()

No 1710, Working Papers from Department of Economics, Nelson Mandela University

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.

Keywords: Colocation; High frequency trading; Global financial crisis; Federal fund rates; Equity returns; Threshold cointegration; Johannesburg Stock Exchange (JSE). (search for similar items in EconPapers)
JEL-codes: C22 C23 C52 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2017-08, Revised 2017-08
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http://repec.mandela.ac.za/RePEc/mnd/wpaper/paper.1710.pdf First version, 2017 (application/pdf)

Related works:
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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