The paper investigates excess co-movement in asset prices in South Africa between 1995 and 2005 using the definition of … results of the study suggest that there is excess co-movement between returns on equities and bonds in South Africa. The …

excess co-movement in the fixed-income securities of all industries, not just in those of auto firms. In particular, using … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …