A study on the presence turn-of-the-month effect in the Philippine stock market from 2000-2007
Date of Publication
2008
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
Thesis Adviser
Steven S. Lim
Defense Panel Chair
Joseph James F. Lago
Defense Panel Member
Alfredo M. Santoyo
Milkos Patrick B. Zalameda
Abstract/Summary
This paper tested the significant presence of Turn-of-the-Month Effect (TOM) using the returns of the Philippine Stock Composite Index (PSEi) and the Financial (FIN), Industrial (IND), Property (PRO) and Mining & Oil (M-O) sector indices analyzed cumulatively each month across the years 2000-2007. An examination of the results uncovered the presence for the said monthly effect, which strongly holds in the Industrial Sector and the reverse for Mining & Oil. Further examination accounted for the pre-specified special events, with empirical results indicating a strong influence on PSE Composite, FIN and IND indices.
Abstract Format
html
Language
English
Format
Accession Number
TU14837
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
1 v. (various foliations)
Keywords
Stock exchanges--Philippines; Investments--Philippines; Investment analysis
Recommended Citation
Fernandez, M. D., Mack, J. Y., & Marticion, I. S. (2008). A study on the presence turn-of-the-month effect in the Philippine stock market from 2000-2007. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/17485
