A study on the presence of random walk in the Philippine stock market from the years 2000-2005

Date of Publication

2006

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 F. Lago

Defense Panel Member

"

Frederick A. Halcon

Michael Macainag

Abstract/Summary

The study is about determining the existence or nonexistence of Random Walk in the Philippine Stock Market. The data will be used is the Philippine Stock Composite Index (PSEi). It will be subjected to the Dickey-Fuller statistic test and the Hurst Exponent of the data will be determined. The Dickey-Fuller statistic test is used to test the unit root in the time series data, it tests whether a unit root is present in an autoregressive model. The presence of the unit root determines if there is random walk or not, with its presence indicating the series does not follow a random walk. The Hurst Exponent on the other hand, needs to do a Rescaled Range Analysis which is used to determine long-memory effects and fractional Brownian motion. If the result of the Hurst exponent is independent then the hypothesis stating that there is a random walk can be validated. The proponents used the Dickey Fuller to validate the presence of random walk in the Philippine Stock Exchange while the Hurst exponent was used to determine the degree of randomness present in the data. By the results it can be seen that there is a pattern in the behavior of the PSEi since it showed a short memory. However, random behavior can still be seen in the degree of changes in the values of the PSEi and the uncertainty when that change will happen in the future.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU13575

Shelf Location

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

Physical Description

x, 99 leaves : ill. ; 28 cm. + ; 2 computer optical disc.

Keywords

Stock exchanges--Philippines; Stocks-- Philippines; Investments--Philippines; Random walks (Mathematics)

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