The effects of the 2008 financial crisis in the Philippine Stock Exchange from 2006-2015: Modelling stock market volatility using sector indices with an application of Garch, Egarch, and Tgarch models

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science 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

Mar Andriel S. Umali

Defense Panel Chair

Ruben Carlo Asuncion

Defense Panel Member

Dulani Jayasuriyadaluwathumullagamage
John Paul Tanyag

Abstract/Summary

This paper examines sector specific volatility in order to determine how different sectors respond to volatility shocks within the same equity market. The Philippine Stock exchange (PSE) Index Series, composed of the PSEI Index and sector indices, is utilized for this study. Volatility is modeled using GARCH, EGARCH and TGARCH in order to examine the temporal volatility dynamics of each specific industry. Stylized facts such as volatility clustering, long memory and the leverage effect are investigated for each sector. Furthermore, the data is divided into three periods. The first period includes index data prior to the 2008 Financial Crisis, the second period includes index data during the period of Financial Crisis, and the third period includes index data after the 2008 Financial Crisis. The findings indicate that EGARCH is the preferred model providing successful model specification for all sector indices for all periods. Although the stylized facts were apparent for most sectors for all periods, there was strong evidence of heterogeneous response of sector volatility due to the exogenous shocks of the financial crisis.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21349

Shelf Location

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

Physical Description

iii, 217 leaves ; 28 cm.

Keywords

Financial crises--Philippines; Stock exchanges-- Philippines

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