A causality test on the relations between and among unemployment rate and 91-day treasury bill interest rates, foreign portfolio inflow and stock index return in the Philippines for the period of 1991-2005
Date of Publication
2006
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Joseph James F. Lago
Defense Panel Member
Ma. Esperanza F. Joven
Steven S. Lim
Jan-Michael G. Coligado
Abstract/Summary
This study used the application of Granger causality test on unemployment and the financial markets' performance based on three financial indicators--91-day treasury bill rates, stock market return, and foreign portfolio investment. Findings showed that unemployment rates Granger causes 91-dy treasury bill rates and vice versa. On the other hand, stock market return Granger causes unemployment but not the other way around, while unemployment and foreign portfolio investment did not show a Granger causality result. These tests were done using quarterly Philippine data covering the period of 1991-2005.
Abstract Format
html
Language
English
Format
Accession Number
TU21185
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
50, [45] leaves : illustrations
Keywords
Unemployment--Philippines; Treasury bills--Philippines; Stock exchanges--Philippines
Recommended Citation
Chua, G., Dejasco, M., Go, S., & Santos, J. (2006). A causality test on the relations between and among unemployment rate and 91-day treasury bill interest rates, foreign portfolio inflow and stock index return in the Philippines for the period of 1991-2005. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18303
