Investor reaction to unexpected political and economic events in the Philippine stock market from the years 2000-2008
Date of Publication
2009
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
Joseph James Lago
Defense Panel Member
Andrew Adrian Yu Pua
" Alfredp M. Santoyo
Abstract/Summary
This study examines investor reaction to major unexpected political and economic events that were initially publicly disseminated in the Philippine stock market from years 2000-2008. Applying an event study, evidences of overreaction hypotheis (OH) or uncertain information hypothesis (UIH) is tested using the daily closing prices of Philippine Stock Exchange all shares index (PSE-all shares) and the Philippine Stock Exchange index (PSEi). However, contrary to find evidences of characteristics of OH or UIH in the country's equities market, the researchers only found overreaction to favorable events, as evidenced by significant price reversals following the arrival of positive news. Meanwhile underreaction is seen with announcement of negative news, as stock prices immediately drop then take a brief recovery, but afterwards fall even further. Thus neither OH, nor UH exists in the Philippine stock market, but rather only presents strong signs of overreaction and underreaction, as supported by the daily indices return.
Abstract Format
html
Language
English
Format
Accession Number
TU21688
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
106 leaves : illustrations (some color) ; 28 cm.
Keywords
Stock exchanges--Philippines; Stockholders-- Philippines
Recommended Citation
Choi, A., Chua, J., Kumar, V., & Ong, A. (2009). Investor reaction to unexpected political and economic events in the Philippine stock market from the years 2000-2008. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/9017