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

• Authors: Phiri Andrew
• 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.

Keywords

EN

Colocation; high frequency trading; global financial crisis; federal fund rates; equity returns; threshold cointegration; johannesburg stock exchange (JSE)

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Prague Development Center, Czech Republic
• Journal: Business and Economic Horizons
• Year: 2017
• Volume: Volume 13
• Issue: Issue 1
• Pages: 1-9

Dates

published

2017-04-15

Contributors

author

Phiri Andrew

• Department of Economics, Faculty of Business and Economic Studies Nelson Mandela Metropolitan University, South Africa

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