An examination of the daily top three gainers and losers at the Philippine stock exchange for the first three-quarters of 1998 (02 Jan 1998-07 Oct. 1998)
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
The proponents examine the behavior of stock prices listed in the Philippines Stock Exchange (PSE) that experienced the largest percentage gains (winners) and declines (losers) in the short-run (three days). Top three winners and losers published in the PSE during the first three quarters of 1998 (02 January 1998-10 October 1998) are selected.
The proponents found evidence that the Philippine Stock Market overreacts to bad news in the short-run. There is also weak evidence that the Philippine Stock Market overreacts to good news. Moreover, cumulative stock price changes are abnormally high for three days immediately after the large price decline.
A test for market efficiency by using bid-ask spreads, which represent the minimum cost of transacting, is obtained. The overall results indicate that stock price changes during the reversal period are greater than the average relative spreads especially for losers. These results are consistent with the overreaction hypothesis.
Therefore, evidence shows that the Philippine Stock Market is not weak-from efficient even after transaction costs are considered. This can be attributed to the large magnitude of price reversals compared to the average relative spreads. This is more profound in the losers' sample. Thus, investors (with a holding period of one to three days) have opportunities to earn excess profits, net of transaction costs immediately after the announcement date.
Furthermore, the proponents recommend that investors (with a holding period of one to three days) invest in industries that have frequently announced advances (winning stocks) or declines (losing stocks) in order to further maximize their potentials of earning profits.
Abstract Format
html
Language
English
Format
Accession Number
TU10395
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
65 numb. leaves
Recommended Citation
Cabral, V., Sy, D., & Young, J. (1999). An examination of the daily top three gainers and losers at the Philippine stock exchange for the first three-quarters of 1998 (02 Jan 1998-07 Oct. 1998). Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/17091
