Abstract
The time-varying interdependence between South Africa and both the UK and US is modeled using a latent variable approach. We find little interdependence prior to March 1995 when exchange controls and a dual exchange rate regime were in place. After the unification of the exchange rates and the removal of exchange controls on non-residents, the interdependence with the US increased considerably. Despite the fact that many large South African companies have their primary or secondary listing on the London Stock Exchange, there is little interdependence with the UK after March 1995. The increase in interdependence with the US is consistent with the increase in US purchases of South African equities after March 1995.
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