The impact of the movement in repurchase rate, reverse repurchase rate, treasury bill rate, and treasury bond rate on common stock returns of banks listed in the Philippine Stock Exchange (2010-2014)
Date of Publication
2016
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Eric Romero
Abstract/Summary
Stock returns are undoubtedly affected by various macroeconomic factors. Existing literature points to foreign direct investment, exchange rate, and interest rates as some of the factors. This paper focused on how interest rates affect stock returns.
This study aimed to establish a significant relationship between listed banks stock returns and four (4) different interest rates. The rates used in this study are repurchase rate (RP), reverse repurchase rate (RRP), 91-day Treasury Bill Rate, and 7-year Treasury Bond Rate.
Monthly stock returns of ten (10) banks that were actively traded in the Philippine Stock Exchange (PSE) in the period of 2010-2014 were regressed against monthly rates. Vector Autoregressive models were estimated per bank, determining the lagged effect of the variables. Also, a Granger Causality test was used to determine if the variables were correlated. Finally, a regression was done to establish whether or not the variables significantly affect each other.
It was found that RP, RRP, 91-day T-bill rates, and 7-year Treasury bond rates do not have a significant effect on banks stock returns. Neither was there Granger causality between them.
Abstract Format
html
Language
English
Format
Electronic
Accession Number
CDTU022150
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
1 computer optical disc ; 4 3/4 in.
Keywords
Rate of return; Stock exchanges; Investments, Foreign--Effect of stock prices on--Econometric models
Recommended Citation
Chu, E. T., Gomez, C. M., Manuel, M. C., & Vitug, J. J. (2016). The impact of the movement in repurchase rate, reverse repurchase rate, treasury bill rate, and treasury bond rate on common stock returns of banks listed in the Philippine Stock Exchange (2010-2014). Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/11388
