Title

Defying the odds: Macro-level analysis of aggregate mutual fund flows and stock market volatility in the Philippines

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

Defense Panel Chair

Junette A. Perez

Defense Panel Member

Marycris O. Albao

Tyrone Panzer L. Chanpao

Abstract/Summary

Financial globalization and market interdependence contributes to the growth of the mutual fund industry through cross-border capital flows and asset holdings. In the Philippines, after the Asian financial crisis its mutual fund industry experienced an unprecedented growth. However, aggregate mutual fund flows have not yet been investigated in terms of its dynamic and casual relationship with stock market volatility and macroeconomic variables. Therefore, this study identifies the dynamic and causal relationship among the variables in the Philippines using the Vector Autoregression (VAR) model during the period June 2000 to December 2016. The findings indicate that investors in the Philippines tend to be more risk-averse in the presence of a highly volatile market and unfavorable economic conditions.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21909

Shelf Location

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

Physical Description

1 volume (various foliations) : illustrations (some color) ; 28 cm.

Keywords

Stock exchanges--Philippines; Mutual funds-- Philippines

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