A determination of the existence of autumn (months of October and September) crashes in the Philippine stock market (Jan 1972-Dec. 1997)
Date of Publication
2000
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 examined the Philippine Stock Market indices for the period 1972 to 1997 to determine the existence of Autumn (the months of September and October) Crashes.
The proponents found evidence that Autumn Crashes do exist in the Philippine stock market. The lone one-day 20% decline occurred on the 27th day of the seventh month of the Babylonian calendar.
A test for the probability of the crashes was applied using the Poisson distribution table, both for the probability of the crash to happen for the whole period and for every month. Then the proponents averaged the number of declines for each month. Then a t-test on the difference of the mean declines (in percentage) for paired data was formulated followed by a simulation of the crashes using the Monte Carlo method. The price trends were then identified using a 25-day moving average. After the statistical tools were utilized the crashes were tabulated in the Babylonian calendar if they arrived on the pertinent dates of 6-27, 6-28, 7-27 and 7-28.
The proponents recommend that Philippine stock market participants should mark their calendars with the lunar dates we specified. The evidences presented in the study not only proves that Autumn crashes exist in the Philippine stock market but that calendar research is applicable in determining it's predictability.
Abstract Format
html
Language
English
Format
Accession Number
TU10216
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
180 leaves
Recommended Citation
Dongallo, J., Lim, J., Santos, R., & Semira, J. (2000). A determination of the existence of autumn (months of October and September) crashes in the Philippine stock market (Jan 1972-Dec. 1997). Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/17387