An empirical investigation of the causal relationship among monetary variables with equity market returns in the Philippine setting
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
Neriza M. Delfino
Defense Panel Chair
Ruben Carlo O. Asuncion
Defense Panel Member
John Paolo Rivera
Abstract/Summary
This study explores the long-term dynamic relationship between equity market returns and monetary variables from an observable period of ten years (1999-2008) in the Philippines. Monetary variables include money supply as measured by M1 money, treasury bill rates as a proxy for interest rates, foreign exchange rates and the inflation rate. The sample base to check the causality will be the thirty firms of the Philippine Stock Exchange index. The data has been examined using Granger causality analysis. Finally, based on the resulting causality test, further analysis and a predictive model will be created to explore the practical application of the subject matter.
Abstract Format
html
Language
English
Format
Accession Number
TU17225
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
92 leaves : illustrations
Keywords
Treasury bills--Philippines; Interest rates--Philippines; Foreign exchange rates--Philippines
Recommended Citation
Cheong, O., Cancio, J., Cobankiat, C., & Galang, C. (2010). An empirical investigation of the causal relationship among monetary variables with equity market returns in the Philippine setting. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18524
