A study on stock return variance during trading and non-trading periods of the thirty most actively traded stocks for the years 2007-2011 using GARCH
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
Joseph Vincent David
Defense Panel Chair
Vivian Eleazar
Defense Panel Member
Maria Francesca Tomaliwan
Abstract/Summary
This study determines which period (the trading or the non-trading period) in the Philippine Stock Exchange is more volatile than the other. The sample used is, the thirty (30) most actively traded stocks in the Philippine Stock Exchange, covering the period, January 2, 2007 to December 29, 2011.
In this study, the general autoregressive conditional heteroskedasticity (1, 1) model, and multiplicative general autoregressive conditional heteroskedasticity (1, 1) model were used to estimate the conditional variances of the trading and the non-trading period. This study included two variables to represent information arrival (as proxied by volume) and trading noise (proxied by lagged intra-day volatility). A simulation of stocks that accounts for transaction costs was also done, in order to provide a clear example to the readers, in determining which period has more favorable returns.
Overall, the trading period is found to be more volatile than the non-trading period, but, interestingly, the returns during the non-trading period appear to be more favorable than those of the trading period. It was also shown how transaction costs, do, have an effect on returns. Furthermore, the study also determined that information arrival, and trading noise have significant effects on the variances during the trading period.
Abstract Format
html
Language
English
Format
Accession Number
TU17184
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
135 leaves : illustrations
Keywords
Stocks--Philippines; Stock exchanges--Philippines
Recommended Citation
Coronado, P. E., Inocencio, M., Jalbuena, J., & Ramos, R. (2012). A study on stock return variance during trading and non-trading periods of the thirty most actively traded stocks for the years 2007-2011 using GARCH. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18518
