Title

Information arrival, trading and volatility of Philippine stock returns

Date of Publication

2001

Document Type

Dissertation

Degree Name

Doctor of Business Administration

Subject Categories

Business Administration, Management, and Operations

College

Ramon V. Del Rosario College of Business

Department/Unit

Management and Organization Department

Thesis Adviser

Errol B. Perez

Defense Panel Chair

Rhoderick R. Santos

Defense Panel Member

Mario V. Perilla
Marites Ariola Khanser

Ana Maria L. Tabunda

Abstract/Summary

This study determines the effects of information arrival (as proxied by volume) or trading (as proxied by returns) on Philippine stock return. The sample included ten (10) randomly selected PHISIX constituent issues and the PHISIX covering the period April 4, 1994 to March 31, 1999. The study used both the historical and implied volatility to estimate the forecast volatility. However, both methods assumed that volatility is stationary, which was not the case as empirically evidenced. In this study, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) and Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) (1,1) were used to estimate and forecast the time-varying volatility.The study found out that return variances during trading period is greater than return variances during nontrading period for all index stocks except Philex Mining. Likewise, this study found out that the stock return volatility for all the index stocks exhibited the following: 1) leptokurtic 2) skewness and 3) volatility clustering in all the recompositions of the PHISIX. Also, this study presented an alternative model to the mean-variance analysis used by investors. The model includes the four moments, mean, standard deviation, skewness, and kurtosis for stock evaluation.

Abstract Format

html

Language

English

Format

Print

Accession Number

TG03081

Shelf Location

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

Physical Description

221 leaves

Keywords

Stocks; Block trading; Stock-exchange

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