A study on the existence of a monthly effect on the selected stocks in the Philippine stock market for the period covering May 1994 to April 1998

Date of Publication

1998

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Abstract/Summary

The so-called monthly effect on stock returns suggests that the average or arithmetic mean returns during the first half of each month are higher than that of the second half (Ariel, 1987). The focus of this paper is to verify whether or not the stock returns on the selected stocks exhibit a monthly effect for the period covering May 1994 to April 1998. As part of our hypothesis, the null states that the mean return for the first half is equal or less than the mean return for the second half of each month. On the other hand, the alternative hypothesis will be stated as the mean return for the first half is significantly higher than the mean return for the second half of each month. The statistical tool used were T-statistic for the monthly basis and Z-statistics for both the individual stock and weighted Z-statistic. For the alternative hypothesis to be accepted, the computed T-statistic must be greater than 1.761 while the computed and weighted Z-statistic must be greater than 1.65. The results show that there is no significant evidence that the monthly effect on stock returns exist in the Philippine Stock Market for the covered period.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU08720

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

92 numb. leaves

Keywords

Stock-exchange, Philippines; Floor traders (Finance); Stock-exchange and current events; Corporations

This document is currently not available here.

Share

COinS