Abstract
A two-stage computer-aided Markov chain analysis was used to determine longterm predictability of Ayala Corporation and PLDT stocks from over a five-year period. The results reveal no evidence of random walk for PLDT stocks. Dividends, which are often used as informational content to determine the direction of stock prices, cannot be used as a determinant in the case of PLDT stock prices. Further study is recommended on whether this behavior is prevalent in the Philippine Stock Market and what other stocks exhibit this behavior.
Recommended Citation
Hapitan, Rene B.
(2002)
"A Study on the Long-term Predictability of Monthly Returns of Ayala Corporation and PLDT Stocks from 1996 to 2000,"
DLSU Business & Economics Review: Vol. 14:
No.
1, Article 4.
DOI: https://doi.org/10.59588/2243-786X.1661
Available at:
https://animorepository.dlsu.edu.ph/ber/vol14/iss1/4
