The quantile relationship of Philippine equities and foreign exchange rates

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

Delfino, Neriza M.

Defense Panel Chair

Patrick D. Caoile

Defense Panel Member

Patrick Salvacion Benito
Regina Camille Aseron

Abstract/Summary

This paper aims to establish the link between the stock market and foreign exchange market of the Philippines. To fulfill such, the study establishes direction of causality and applied the Quantile Regression model to observe the daily returns of the Philippine Stock Exchange Index and Foreign Exchange rates of the country's top six trading partners from January 2012 to December 2015. The results show that the Philippines exhibits the International Trade Oriented Model where movements in exchange rate returns cause the movements in stock returns. Being an Import-Oriented country, the appreciation of the Philippine Peso results in an instantaneous increase in the returns of the stock market. This effect considerably decreases in magnitude throughout the high performances in the Philippine Stock Market.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21356

Shelf Location

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

Physical Description

84 leaves ; 28 cm. + : 1 computer optical disc

Keywords

Stocks--Philippines; Foreign exchange rates-- Philippines

This document is currently not available here.

Share

COinS