Applying the gaining from a loss concept: Investigating the positive effects of storms and flood on the returns of the six sectors of the Philippine Stock Exchange

Date of Publication

2013

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

Tyrone Panzer Chan Pao

Defense Panel Chair

Camille Concepcion

Defense Panel Member

Edralin Lim

Abstract/Summary

The study being conducted investigates the relationship between stock market returns per sector and the storms and floods that affected the Philippines from 2007 to 2012. Storms and floods are accounted for in the study as the number of occurrences for each week, whereas the stock market returns are divided per sector in order to better understand which sectors are most affected by storms and floods. The researchers hypothesize that storms and floods will have a positive effect on stock market returns, thus following the gaining from a loss concept. In order to achieve the objective of this study, the impact of the storms and floods to the different sector indices is estimated using the generalized autoregressive conditional heterokedasticity (GARCH) model. The results show that there is a direct relationship between the stock returns of the different sectors and the storms and floods, however, the storms and floods are only significant for two sectors, the property and holding sectors.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21810

Shelf Location

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

Physical Description

87, [45] leaves : illustrations (some color)

Keywords

Stock exchanges--Philippines

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