Long- And Short-Run Dynamics between South African Hedge Funds and the Equity Market
Michele Santangelo, Ilse Botha and Nicolaas Strydom
The Journal of Wealth Management Fall 2021, jwm.2021.1.138; DOI: https://doi.org/10.3905/jwm.2021.1.138
Michele Santangelo
is a portfolio manager and analyst at Independent Securities in Illovo, South Africa
Ilse Botha
is a professor in the School of Accounting at the University of Johannesburg in Aucklandpark, South Africa
Nicolaas Strydom
is a lecturer in the School of Accounting at the University of Johannesburg in Aucklandpark, South Africa
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In this issue
The Journal of Wealth Management
Vol. 25, Issue 1
Summer 2022
Long- And Short-Run Dynamics between South African Hedge Funds and the Equity Market
Michele Santangelo, Ilse Botha, Nicolaas Strydom
The Journal of Wealth Management May 2021, jwm.2021.1.138; DOI: 10.3905/jwm.2021.1.138
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- Article
- Abstract
- DYNAMICS AND CO-DEPENDENT GLOBAL MARKETS
- HEDGE FUND DIVERSIFICATION
- TACTICAL AND STRATEGIC ASSET ALLOCATION
- INDEXES AND DATA
- METHODOLOGY
- PERFORMANCE AND RETURN DISTRIBUTION
- CORRELATIONS
- TESTING FOR STATIONARITY
- CAUSALITY
- LONG-TERM RELATIONSHIPS
- SHORT-TERM IMPACTS—INNOVATION ACCOUNTING
- IMPULSE RESPONSES
- VARIANCE DECOMPOSITION
- CONCLUSIONS
- APPENDIX A
- APPENDIX B
- APPENDIX C
- REFERENCES
- Info & Metrics
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