Stock trading in the Philippines: The fuzzy time series model

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

Ricarte Pinlac

Defense Panel Member

Edralin Lim

Rene Betita

Fahruddin Nawawi Tago

Abstract/Summary

A study conducted to test the presence of patterns in the daily price movements of the Philippine Stock Exchange composite index (PSEi) from 1994-2013. By using Chen, Cheng and Teoh's (2007) fuzzy time series based on the Fibonacci sequence, the researchers were able to closely forecast the daily stock prices of the PSEi from January 2012 to December 2013. To assess the accuracy of the forecasts, the RMSE of the model was used as a gauge. The model was found to support the random walk hypothesis, in reconciling that the best predictor for the stock price tomorrow is the stock price today thus the efficient market hypothesis holds true for the Philippine stock market. This was further supported by ARMA (1, 1) and GARCH (1, 1) models.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21662

Shelf Location

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

Physical Description

iv, 85 leaves : illustrations (some color) ; 28 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Stocks--Prices--Philippines; Stock exchanges-- Philippines

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