Feedback trading and stock return autocorrelation: Evidence for the Philippine stock market
Date of Publication
2009
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
Andrew Adrian Yu Pua
Defense Panel Member
Lawrence Dacuycuy
Leila Kabigting
Abstract/Summary
The paper provides empirical findings in detecting the presence of feedback trading in the Philippine equities market. According to the Shiller-Sentana-Wadhwani model, there are two types of investor in the market, smart money traders who base their decisions on fundamentals, and feedback traders who base their trades on past prices. The model also presents the link between return autocorrelation and volatility. In addition, the study uses Nelson's EGARCH to model the conditional variance.
There is evidence of enough positive feedback trading among the stocks and indices to induce negative autocorrelation of returns during volatile periods. Seventeen selected stocks were used to examine if feedback trading is present in an exchange, since previous studies made use of indices and these indices can generalize the effect of its individual components. Results show that for the year 2007, positive feedback trading seems to be more dominant compared to negative feedback trading in most stocks. However for the year 2008, despite being a very volatile year, positive feedback trading is not dominant and there were more evidences of negative feedback trading, which is contrary with the model. This is further explained using the crash analysis, wherein there is evidence of positive feedback traders at the earlier part of the year however, negative feedback traders have become more dominant during the latter part of the year.
Abstract Format
html
Language
English
Format
Accession Number
TU21701
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
v, 77, [100] leaves : illustrations (some color)
Keywords
Stock exchanges--Philippines; Invesments--Philippines
Recommended Citation
Chua, S. N., Go, J. Y., Kee, C. T., & Lim, R. U. (2009). Feedback trading and stock return autocorrelation: Evidence for the Philippine stock market. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18373