The dynamic impact of gross domestic product (GDP), PSE Index (PSEI), market volatility, market liquidity, and reverse repurchase rate (RRP) on initial public offerings : evidence from time series analysis

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

Frederick Romero

Defense Panel Chair

Edralin Lim

Defense Panel Member

Patricia Benito

Ricarte Pinlac

Michelle Brendy Ocampo Tan

Abstract/Summary

Initial public offerings (IPOs) play a significant role in classifying a country's economic status. It can serve as a form of measurement which will help the general public know about the economic performance of the country. As the economic performance of the Philippines grows stronger, more and more companies have decided to go public. Today, there are very few studies available regarding IPO activities and how its performance is determined by certain macroeconomic factors. This study broadens the understanding of readers on IPO activities and its role in evaluating an economy's performance with the use of time-series analysis. It focuses on the factors, gross domestic product (GDP), PSE Index (PSEi), market volatility, market liquidity, and reverse repurchase rate (RRP) in assessing the impact and causality of the variables on IPO activities of listing companies in the Philippines from years 2000 to 2015. Later in the study, industrial production (IP) was used to substitute for GDP due to its cyclical sensitivity and monthly availability. This study used the correlation analyis and ordinary least square regression model to determine the relationship between the variables. The granger causality was also used to determine whether the independent variables have any causality with the IPO activities. Lastly, the VEC model was used to determine the forecasting capabilties of the independent factors. It was found that IP, PSEi, and RRP have a significant relationship on IPO activities then the factors that showed causality are the IP, market volatility, and PSEi. On the other hand, results from forecasting statistics showed that all factors have weak forecasting capabilities in determing future IPO activities which may have been caused by weak data points. The results obtained imply that the factors which shown to have significant impact and relationship on IPO activities can better determine and explain the movements of the IPO activities. Meanwhile, results from forecasting imply that the shocks inc

Abstract Format

html

Language

English

Format

Print

Accession Number

TU10508

Shelf Location

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

Physical Description

184, 4 leaves : illustrations (some color) ; 28 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Going public (Securities)--Philippines

This document is currently not available here.

Share

COinS