Volatility is opportunity: An examination of winners & losers in the Philippine Stock Exchange for the period 02 January 1998-31 March 1999
Date of Publication
1999
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
It was in 1998 when the most recent financial crisis hit the Philippine Stock Exchange. During this period, extreme volatility had been a major part of the market almost every trading day.
But in this study, volatility will not be presented as high risk instead, this paper will focus mainly on the brighter side of it which is opportunity.
In particular, this thesis aimed to solve the problem: how can investors with 3-day holding period of one to three days profit from trading on the price changes of the top three winners and losers at the Philippines Stock Exchange, net of transaction cost.
Other objectives was to determine a.) whether said stocks undergo a price reversal b.) whether bid-ask spread causes the abnormal price changes and c.) if the bid-ask spreads are greater than abnormal stock price changes at day 0.
Having answered all the questions mentioned should therefore help educate speculative investors as to the nature of the market during these uncertain times. Moreover, the findings showed to the investors that volatility is actually an opportunity. Thus, this would assist the stock market players on how to profit given the opportunity.
To have done this, data on the daily top winners & losers from the Philippine Stock Exchange were obtained. These data also included the closing bid-ask spread for cost computations. Moreover, data on daily stock quotes were used to compute the returns for both the actual and expected. All these data were then used to compute for the variables abnormal returns bid-ask spread including for t-test and f-test. Final samples summed at 899 winners and 896 losers.
Abstract Format
html
Language
English
Format
Accession Number
TU09271
Shelf Location
Archives, The Learning Commons, 12F Henry Sy Sr. Hall
Physical Description
67 numb. leaves
Recommended Citation
Siy, J. (1999). Volatility is opportunity: An examination of winners & losers in the Philippine Stock Exchange for the period 02 January 1998-31 March 1999. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/16584
