Mean reversion on selected stocks in the Philippine stock market from 1998-2011
Date of Publication
2012
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Joseph Vincent David
Defense Panel Chair
John Paolo Rivera
Defense Panel Member
Neriza Casa
Abstract/Summary
Predictability of stock movement has been studied in various methods. One method to analyze the movement of stock returns is to study the mean reversion phenomenon. Tendency of the returns of stocks to revert to a central value along the fluctuation is called mean reversion. Existence of the mean reverting behavior of stock return has been proven in many developed countries like member countries of OECD (Spierdik, Bikker & Hoek, 2010). The primary objective of this research is to determine the existence of mean reversion in the Philippine stock market. Analysis used data of the stock returns of 13 selected stocks from Philippine Stock Exchange index period covering 1998 to 2011. Researchers performed risk and return profiling and regression analysis. Mean reversion phenomenon is statistically explained by negative autocorrelation of stock return but the findings of this paper rather showed positive autocorrelation at 5 percent significance level. Base journal for this study had proven mean reversion behavior in Philippine stock market during 1980 to 1995. However, this paper was able to prove the absence of mean reversion in the Philippine stock market during 1998 to 2011.
Abstract Format
html
Language
English
Format
Accession Number
TU17181
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
120 leaves : illustrations ; 28 cm.
Keywords
Stocks--Philippines; Stock exchanges--Philippines
Recommended Citation
Choi, S., Kim, W., Shin, B., Villasana, E. H., & Rivera, John Paolo, panel chair. (2012). Mean reversion on selected stocks in the Philippine stock market from 1998-2011. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/9042