The impact of the movement in repurchase rate, reverse repurchase rate, treasury bill rate, and treasury bond rate on common stock returns of banks listed in the Philippine Stock Exchange (2010-2014)

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

Frederick P. Romero

Defense Panel Member

John Paul S. Tanyag

Abstract/Summary

Stock returns are undoubtedly affected by various macroeconomic factors. Existing literature points to foreign direct investment, exchange rate, and interest rates as some of the factors. This paper focused on how interest rates affect stock returns.

This study aimed to establish a significant relationship between listed banks' stock returns and four (4) different interest rates. The rates used in this study are repurchase rate (RP), reverse repurchase rate (RRP), 91-daynTreasury Bill Rate, and 7-year Treasury Bond Rate.

Monthly stock returns of ten (10) banks that were actively traded in the Philippine Stock Exchange (PSE) in the period of 2010-2014 were regressed against monthly rates. Vector Autoregressive models were estimated per bank, determining the lagged effect of the variables. Also, a Granger Causality test was used to determine if the variables were correlated. Finally, a regression was done to establish whether or not the variables significantly affect each other.

It was found that RP, RRP, 91-day T-bill rates, and 7-year Treasury bond rates do not have a significant effect on banks' stocks return. Neither was there Granger causality between them.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21354

Shelf Location

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

Physical Description

vi, 119 leaves ; 28 cm. + ; 1 computer optical disc.

Keywords

Stock exchanges--Philippines

This document is currently not available here.

Share

COinS