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

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

Author(s): Andrew Phiri
Subject(s): Economy
Published by: Prague Development Center
Keywords: Colocation; high frequency trading; global financial crisis; federal fund rates; equity returns; threshold cointegration; Johannesburg Stock Exchange (JSE)

Summary/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.

  • Issue Year: 13/2017
  • Issue No: 1
  • Page Range: 1-9
  • Page Count: 9
  • Language: English