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

Print

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

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