A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis

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

Manuelito Co

Defense Panel Member

Melissa Lim

Blaine Ocampo Tan

Abstract/Summary

This paper entitled A Study of Persistence in the Philippine Stock Market for the Period 2011-2015: A Rescaled Range Analysis is a study that seeks to determine if persistence, randomness or mean reversion is evident in the Philippines through the utilization of a potent tool known as rescaled range analysis in support of the concept of chaos theory. The design of the research is descriptive-comparative. Furthermore, questions of causality are not within the purview of this paper.

The study utilized three levels: the stock level comprising of the stock returns of the top ten stocks with the highest market capitalization taken from the 2015 Philippine composite index, the stock returns of the six sectors present in the Philippine stock market, and the daily stock returns of the Philippine stock exchange index as a whole.

The results showed that nine companies in the top ten stocks of 2015, all of the six sectors, and the index derived H values greater than 0.5, indicating that the Philippine stock market does show evidence of persistence and strengthening the application chaos theory in the market. However, the derived Hurst exponents are not significantly greater than 0.5, thereby suggesting a trend reinforcing series. Furthermore, the study indicates that even if the Philippine stock market shows persistence and is not random, it cannot be accurately predicted. In conclusion, the Philippine Stock Market is still considered an inefficient market despite the evidence of persistence.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21350

Shelf Location

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

Physical Description

135, xl leaves : colored illustrations ; 28 cm. + ; 1 computer optical disc.

Keywords

Stock exchanges--Philippines

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