An analytical study on the predictability of monthly returns of stocks in the oil and mining sector using the Markov chain model for the period 2000-2008

Date of Publication

2009

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

Leila Calderon Kabigting

Defense Panel Member

Alfredo M. Santoyo
Joel Bangalan
Clara Sapalaran

Abstract/Summary

The Markov chain model predicts the state of an object in a certain period of time in the future by virtue of profitability vector of the initial state and state transition probability matrix (Zhang and Zhang, 2009). The main goal of this research is to know if the Markov chain model is capable of predicting the behavior of the monthly returns, if it will be bearish or bullish, of the stocks in the oil and mining sector of the Philippine Stock Exchange. The study used the data from 2000-2008 for the computation while using the data for 2009 as out sample to see if the computed values and probabilities are in line with the actual data. Moreover, there were only six (6) out of sixteen (16) companies who had significant results. Considering some external factors like the recent financial crisis and the high volatility of the stock used, the resulting 37.5% significance is still a good indicator of the predictive capability of the Markov chain model.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21738

Shelf Location

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

Physical Description

74 leaves : illustrations ; 28 cm.

Keywords

Oil industries--Philippines; Petroleum industry and trade--Philippines; Mineral industries--Finance; Stock price forecasting--Philippines

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