Testing for a short-run and long-run relationship between the US dollar-Philippine peso exchange rate and the stock price indices of the different sectors in the Philippine stock market using error correction model
Date of Publication
2005
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
Neriza M. Delfino
Defense Panel Member
Edward C. See
Clive Manuel Wee Sit
John Sabo
Abstract/Summary
This study aims to test the long-run and short-run relation between the US-dollar-Philippine peso exchange rate and the different sectors in the Philippine stock market. An error correlation model (ECM) was used because the ECM can capture the partial adjustments one variable makes to a shock experienced by another variable in order for the variable to return to its long-run equilibrium. The ECM can also capture short-run dynamics between series and is suitable in examining Granger-causality relations. Results show bi-directional short run and long run relation between the US dollar-Philippine peso exchange rate and the stock price indices of the different sectors in the Philippine stock market. The effect of causality varies depending on the length of time being considered--short run or long run, what the lead variable is, and the nature of the industry being considered.
Abstract Format
html
Language
English
Format
Accession Number
TU21202
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
i, 90 leaves
Keywords
Foreign exchange rates--Philippines; Stock price indexes--Philippines; Stocks--Philippines; Stock exchanges--Philippines
Recommended Citation
De Gracia, J., Gaspar, H. P., & Ilagan, J. H. (2005). Testing for a short-run and long-run relationship between the US dollar-Philippine peso exchange rate and the stock price indices of the different sectors in the Philippine stock market using error correction model. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18325