Major market influencers: The co-integration of the Philippine stock market with the U.S. and selected Asian stock markets
Date of Publication
Bachelor of Science in Management of Financial Institutions
Finance and Financial Management
Ramon V. Del Rosario College of Business
Financial Management Department
Ma. Fluellen Bautista
Defense Panel Member
Michelle Brendy C. Ocampo
Marycris O. Albao
John Paul S. Tanyag
This thesis investigated the stock market co-integration between the Philippines and the following countries: U.S., China, Hong Kong, Japan, and Singapore. The daily closing index levels of each stock market index were then divided into three sub-periods: pre-financial crisis (January 2002 to July 2007), during the financial crisis (August 2007 to December 2011) and the post-financial crisis (January 2012 to December 2016). The following statistical methods were employed: correlation analysis, augmented Dickey Fuller test, Engle-Granger co-integration test, error correction model, and pairwise granger causality. Results from the study indicated that there was co-integration between the PSEi and DJIA, HSI and STI. The stock market index that exhibited the highest degree of co-integration with the PSEi would be DJIA, and this may be because the Philippines had always been strongly linked with the U.S. due to them being active trading partners. In the second period, it was found that the PSEi exhibited no co-integration with all of the stock market indices. The researchers conclude that during a crisis, there is high uncertaity among stock markets. Lastly, the PSEi was only found to have co-integration with the DJIA in the last period. This may be because the Philippines followed U.S. again when the latter rebounded from a bear market condition. The other tests were conducted in order to give more insights into the association of the Philippine stock market, with foreign stock markets.
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
v, 205, 4 leaves ; 28 cm.
Stock exchanges; Stocks
King, R., Lucila, R. E., Ortile, I. P., & Recto, M. A. (2017). Major market influencers: The co-integration of the Philippine stock market with the U.S. and selected Asian stock markets. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/8988