The effects of volatility in interest rates and foreign exchange rates on the volatility of stock returns for the years 1988 to 2004
Date of Publication
2005
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
Thesis Adviser
Rene Hapitan
Defense Panel Chair
Neriza M. Delfino
Junette Perez
Defense Panel Member
Katherine Delos Santos
Raem Mendoza
Edralin C. Lim
Abstract/Summary
The primary concern of this study is to examine the relationship between the volatility of stock returns (dependent variable) and selected economic indicators namely, foreign exchange rates and interest rates (independent variables) for the period 1988-2004. Using the method of multiple regression through the STATA software, the results indicate that a significant relationship exists between stock returns and foreign exchange rates whereas stock return and interest rates have an insignificant relationship.
In this study, stock return is computed through the PHISIX constituent issues and standard deviation was used to determine the volatility of all the variables included. In order to enhance our study, we tried to compare the results between pre and post liberalization periods, and find out whether our independent variables could affect the volatility of stock returns for those separate periods. The results showed that during pre liberalization period, the two macroeconomic variables were both insignificant to the volatility of stock returns. On a same note, the results showed that after the liberalization has occurred, they were still insignificant towards stock returns.
Therefore, we concluded that our variables and the stock market liberalization were not sufficient to affect the volatility of stock returns and that there are other variables, which we did not use in our study, that might have an effect on the volatility of stock returns.
Abstract Format
html
Language
English
Format
Accession Number
TU21613
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
55, [16] leaves : illustrations ; 28 cm.
Keywords
Interest rates--Philippines; Foreign exchange rates--Philippines; Stock exchanges--Philippines
Recommended Citation
Ballesteros, K. J., Cocadiz, V. V., & Serantes, C. D. (2005). The effects of volatility in interest rates and foreign exchange rates on the volatility of stock returns for the years 1988 to 2004. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/7975