A sectoral analysis on the long-run performance of the Philippine stock market from 2006 to 2014
Date of Publication
2015
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Abstract/Summary
As the Philippine economy continues to gain positive prospects for growth, the Philippine stock market served as an ideal investment outlet for profit-taking. Its sustained upward trend as a result of favorable reports of corporate earnings has emboldened investors to consider equities as part of their portfolios.
This study was undertaken to gain further understanding of the Philippine stock market. The group analyzed the long-run dynamics of the six sector indices from 2006 to 2014 using the daily closing levels. Generalized Autoregressive Conditional Hereroskedasticity (GARCH) was conducted to accurately measure the individual volatility of sector indices. On the other hand, Johansen's Cointegration Analysis determined the presence of long-run dynamics among the sector indices. Finally, the Vector Autoregression (VAR) was used to identify the impact of the sectors on PSEi.
The researchers found that among the six sector indices, the Mining & Oil index was the most volatile while the Financial Index was the least volatile. The Johansen's Cointegration Analysis found that only the Mining & Oil index was not cointegrated with the other sectors, while the Services index was the most cointegrated sector. Furthermore, the researchers discovered that Financials and Property indez were cointegrated. VAR results indicated that the financials, Mining & Oil, Property, Services had a direct impact on PSEi, while the Industrial and Holdings Firm index had an indirect impact on PSEi. Findings of the study served as a contribution to literature as limited studies have been made to analyze the sector indices of the Philippine stock market.
Abstract Format
html
Language
English
Format
Accession Number
TU20491
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Recommended Citation
Chavez, S. C. (2015). A sectoral analysis on the long-run performance of the Philippine stock market from 2006 to 2014. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18067
