Examining the relationship between the equities and government securities in the Philippine market from 2009 to 2015: A vector autoregression and granger causality test approach

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

Rene Betita

Defense Panel Member

Ricardo Basallo

Michelle Brendy Tan Ocampo

Abstract/Summary

This study determines the liquidity relationship between the equities and government securities market from 2009 to 2015 through variables liquidity, return and volatility incorporated in the vector autoregressive model and granger causality test. Significant relationships are found between the variables with stock returns and illiquidity being significantly negative stock volatility and illiquidity significantly positive and bond returns and short term government securities significantly positive. On the other hand, there is no lead-lag and bidirectional Granger causality relationship between stock and government securities illiquidity which does not show evidence of the fight to quality and liquidity phenomena in the Philippine setting. The results show evidence of the return and volatility relationship with liquidity, and the liquidity dynamics that exist between the Philippine stock and government securities markets.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU19472

Shelf Location

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

Physical Description

123, [130] leaves : illustrations (some color) ; 28 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Government securities Philippines; Stocks-- Philippines

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