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

Andrew Phiri

MPRA Paper from University Library of Munich, Germany

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: C32 C51 C52 E44 E52 (search for similar items in EconPapers)
Date: 2017-01-06
New Economics Papers: this item is included in nep-mac and nep-mst
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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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