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
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
Recommended Citation
Manalang, V. (2016). The quantile relationship of Philippine equities and foreign exchange rates. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/2690