托管期间联邦基金利率和南非股票回报率之间的阈值趋同

Business and Economic Horizons Pub Date : 2017-01-06 DOI:10.15208/BEH.2017.01

A. Phiri

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引用次数: 0

摘要

使用从2008年9月20日至2016年12月9日收集的每周数据，本文使用动态阈值调整模型来展示约翰内斯堡证券交易所(JSE)引入高频交易和算法交易如何改变南非市场总指数和非总指数的联邦基金利率和股票回报之间的收敛关系。我们特别发现，在后危机时期，在高频交易平台的弱形式意义上，JSE似乎更有效地运作。

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

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.

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Business and Economic Horizons ECONOMICS-

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期刊介绍： The Business and Economic Horizons (BEH) is an international peer-reviewed journal that publishes high quality theoretical, empirical, and review papers covering the broad spectrum of research in areas of economics, business, management, and finance. The journal aim is to bridge the gap between the theory and the observed data in these constantly developing domains. BEH Editorial Board welcomes the high-quality original research articles and review papers that verify the well-grounded and the emerging theories by employing the econometric, statistical methods or other relevant empirical methods in theoretical and applied economic analysis. BEH does not discriminate articles utilizing the non-mainstream approaches such as experimental research, institutional analysis, other variations of heterodox and developmental economic studies. Therefore, the submissions in any field of micro- and macroeconomics, business ethics, economic policy or finance are appropriate for this journal. We hope, the provided contributions will help to understand the contemporary challenges faced by the private and public sector and will establish an international forum of empirical research.