Validating the weak-form market efficiency under the efficient market hypothesis in the case of the Philippine stock market for the period of 1994-2013 using 1-50, 1-150, 1-200, and 2-200 moving average crossover rules

Date of Publication

2014

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

Jose Mari B. Lacson

Defense Panel Member

Robert Dan Roces

Alfredo M. Santoyo

Prince Cu

Abstract/Summary

An efficient market would mean that any kind of analysis for a certain security for gaining above market returns is futile. The three forms of market efficiency under the efficient market hypothesis are the weak form, semi-strong form, and the strong form. Under the weak-form, technical analysis is deemed to be of no use, under the semi-strong form, fundamental analysis, and under the strong-form, even insider information is deemed to be of no use. In testing the market efficiency of the Philippine stock market, previous studies have concluded conflicting findings whether the market is weak-form efficient or inefficient (Dumlao, 2000 Aquino, 2002 & 2006 Almonte, 2004 Chukwuogor-Ndu, 2007 and Rufino & Delfino, 2013). Following the methodology of Brock, Lakonishok, and LeBaron (1992), this study applies technical analysis, specifically 1-50, 1-150, 5-150, 1-200, and 2-200 day moving average crossover rules, on the Philippine Stock Exchange index (PSEi) for the period of 1994 to 2013 in order to confirm if the method generates above market returns. Overall, the study concludes market inefficiency of the Philippine stock market as the results show that the timeframes were able to generate above market returns. This confirms that investors may potentially use analytical strategies, specifically the moving average crossover rules used in the study, in making investment decisions in the Philippine stock market.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21689

Shelf Location

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

Physical Description

75 leaves : illustrations (some color) ; 29 cm.

Keywords

Stock exchanges--Philippines

This document is currently not available here.

Share

COinS