Modeling interest rate volatility and stock return volatility: The case of the publicly listed banks in the Philippines
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
Stephanie Chan
Defense Panel Chair
Edralin C. Lim
Defense Panel Member
Leonardo Araneta
Steven Lim
Abstract/Summary
Unanticipated changes and volatilities in interest rate can significantly affect firms. This study investigates if unanticipated changes and volatilities of the 1-month, 3-month, 6-month, and 1-year treasury bill yield from March 19, 2007 to March 1, 2010 affect the daily common stock return of seven banks listed under the Philippine Stock Exchange. Data are taken from the Philippine Stock Exchange library and the Philippine Dealing and Exchange Corporation website. This study utilizes a student's t GARCH(p, q) and GJR-GARCH(p,q) models. Results show that three out of seven sample banks are significantly affected by unanticipated interest rate changes and two out of the seven sample banks respond symmetrically to unanticipated interest rate changes. In addition, also two out of the seven sample banks respond asymmetrically to interest rate volatility.
Abstract Format
html
Language
English
Format
Accession Number
TU17241
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
142 leaves : illustrations (some color)
Keywords
Interest rates--Philippines; Banks and banking--Philippines
Recommended Citation
Centeno, M. M., & Zialcita, K. P. (2010). Modeling interest rate volatility and stock return volatility: The case of the publicly listed banks in the Philippines. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18536
