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2017 | Volume 13 | Issue 1 | 1-9
Article title

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

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
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.
Year
Volume
Issue
Pages
1-9
Physical description
Dates
published
2017-04-15
Contributors
author
  • Department of Economics, Faculty of Business and Economic Studies Nelson Mandela Metropolitan University, South Africa
References
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  • Manahov, V., Hudson, R., Gebka, B. (2014). Does high frequency trading affect technical analysis and market efficiency? And if so, how? Journal of International Financial Markets, Institutions and Money, 28, 131-157. http://dx.doi.org/10.1016/j.intfin.2013.11.002
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.mhp-4b3809ab-3ea4-42ae-8f07-22a2467be3fe
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