Assessing Philippine stock market integration: Evidences from the 2008 credit crisis
Date of Publication
2010
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
Liberty S. Patiu
Defense Panel Member
Leila Calderon Kabigting
Ruben Carlo Asuncion
Tomas Tiu
Abstract/Summary
The paper aims to assess the existence of integration between the Philippine stock market and the ASEAN 5+3 and US stock markets. The researchers used both daily and weekly closing stock price indices of all nine (9) countries from January 2000 to January 2010. Testing will be done for the full sample and for two (2) periods, namely the pre crisis (2000-2007) and crisis period (2008-2010), to show the effect of the 2008 credit crisis in the degree of integration among the countries. Using the Johansen and Julius vector error correction model (VECM) approach, the researchers were able to verify that almost all stock markets, except for China and Thailand, influence the long run relationship among stock price indices for the full daily data. Compared to its developing neighbors, the Philippines is adversely affected by well-developed markets such as US, Japan and Singapore. Furthermore, during the crisis, more variable contributed to the long run equilibrium of the stock markets and that the speed of adjustment coefficients became faster implying that the crisis strengthened the degree of integration among stock markets. The weekly samples showed a similar result with daily data but with greater magnitude providing stronger speed of adjustments and more volatile impulse responses and variance decomposition. The paper concludes that the Philippines is integrated with the other markets tested with the recent credit crisis strengthening the integration process. The Philippine's close stock market ties with developed economies also makes it more feasible for it to integrate with regional markets to achieve financial stability.
Abstract Format
html
Language
English
Format
Accession Number
TU21204
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
iii,163 leaves
Keywords
Stock exchanges; Stock price indexes; Stocks--Prices; Stock exchanges--Philippines
Recommended Citation
De Vera, E., Wong, B., Yatco, F., & Yu, D. (2010). Assessing Philippine stock market integration: Evidences from the 2008 credit crisis. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18328
