An analysis on the trend predictability of the US dollar- Philippine peso exchange rates : impact on market efficiency

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Defense Panel Member

Ginete, Dexter, Dr., adviser

Perez, Junette, Dr., chair

Lim, Melissa, panelist

Hontiveros, Andrea, panelist

Perez, Junette, Dr., Dept. Chairperson

Ocampo-Tan, Michelle Brendy, thesis coordinator

Abstract/Summary

Predictability of foreign exchange rate market in the Philippines have not yet been fully explored. In the study, the researchers utilized Hurst exponent in obtaining the US-PHP exchange rate trends. The Hurst exponent is a statistical tool used to classify time series. H=0.5 indicates a random series while H>0.5 indicates that will it continue its trend, and if H<.5, this indicates that the trend will revert. Later, the researchers used OLS regression in finding the relationship of the variables that influence the foreign exchange rate. The researchers concluded that US-PHP exchange rate from 1990-2014 is persistent. In addition, FDI, Inflation rate, GDP per capita, debt of the country influences the foreign exchange rate.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU19475

Shelf Location

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

Physical Description

79, 4 leaves : illustrations(some color) ; 28 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Foreign exchange rates -- Philippines

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