Title

Major market influencers: The co-integration of the Philippine stock market with the U.S. and selected Asian stock markets

Date of Publication

2017

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 Department

Thesis Adviser

Ma. Fluellen Bautista

Defense Panel Member

Michelle Brendy C. Ocampo

Marycris O. Albao

John Paul S. Tanyag

Abstract/Summary

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.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21908

Shelf Location

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

Physical Description

v, 205, 4 leaves ; 28 cm.

Keywords

Stock exchanges; Stocks

This document is currently not available here.

Share

COinS