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November 11, 2025Journal of risk and financial managementOpen Access

The Co-Movement of JSE Size-Based Indices: Evidence from a Time–Frequency Domain

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Authors

FMFabian. Moodley

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Overview

Analysis uncovers lead-lag relationships in JSE size-based indices, suggesting investment strategies during varying market conditions.

Key Points

  • Co-movement among JSE size-based indices is influenced by investment holding periods and market conditions.
  • Results from advanced wavelet techniques reveal significant lead-lag relationships among the indices.
  • Utilizing Continuous Wavelet Transform helps evaluate the dynamics of index co-movement patterns.
  • Insights may help investors optimize portfolio strategies and manage financial market risks effectively.

Cite This Study

Fabian. Moodley (2025) studied this question.

synapsesocial.com/papers/69252ea3c0ce034ddc356757https://doi.org/10.3390/jrfm18110633
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