Random walk in the Philippine Stock Market: Fact or fiction (an update of the observation of the behavior of the Philippines composite index from the period January 2007-December 2011)

Date of Publication

2012

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

Lester Yee

Defense Panel Member

Steven Lim
Ericson James Pacaba
Leigh Janelle Lim

Abstract/Summary

Market efficiency is the degree in which all the relevant information of the stock prices is reflected. This paper will center on the weak form of efficient market hypothesis, and will give focus at the composite index to be able to determine any discernable pattern in them. The primary purpose behind the production of this study is to validate the existence of random walk theory in the Philippine stock market, which is an evidence of a weak efficient market. The composite index used is dated from January 2007 to December 2011. The gathered data is tested using the ARIMA model. ARIMA model explains the statistical relationship between past and present observations on the same variable. One of the objectives of this paper is to investigate the behaviour of the daily inDex with 1300 observations (five years-- January 2007-December 2011), 1040 observations (four years-- January 2008-December 2011), 780 observations (three years-- January 2009-December 2011) and 520 observations (two years-- January 2010-Decemebr 2011) wihtin the overall framework of the random walk hypothesis. By operating the ARIMA model to assess the time-series data, the group concluded that the index will conform to the estimation for the null hypothesis (Ho) to be rejected. Researchers were able to determine that the Philippine stock market presents weak form efficiency-- that the data presented are stochastic in nature but exhibits a trend in the market.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21667

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

128 leaves : illustrations

Keywords

Investments--Philippines; Stocks--Philippines; Investment analysis; Random walks (Mathematics); Stock price indexes--Philippines; Stock exchanges--Philippines

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