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

Print

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

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