Date of Publication


Document Type


Degree Name

Doctor of Business Administration

Subject Categories

Business Administration, Management, and Operations


Ramon V. Del Rosario College of Business


Business Management

Thesis Adviser

Angelo A. Unite

Defense Panel Chair

Louie A. Divinagracia

Defense Panel Member

Rena O. De la Cruz
Cesar C. Rufino
Rhoderick R. Santos


This study dwells on the effects of financial market liberalization and deregulation reforms of the Philippines' integration into the international market and on the stock market's volatility as well as its implications to funds management. Four different macroeconomic and microeconomic models were tested using three different methodologies of ordinary least squares, ARCH and GARCH and vector autoregressions to determine the impact of financial liberalization on the degree of integration of the Philippine stock market to the international market, examine the influence of return rates differentials and domestic news versus foreign news on the returns of selected stocks of the composite price index, the existence of volatility clustering for selected macro and microeconomic variables and whether changes in stock market volatility through time can be attributed to time-varying volatility. The study reveals the absolute value of the intercept of the macroeconomic model to be declining in the post-liberalization period. Firm level returns, on the overall, have declined after 1994 and is consistent with expectations of domestic firm rates of returns aligning with foreign rates. Monthly data, which have been subjected to volatility tests, seem to behave in a manner that conforms to a more open market structure. The vector autoregression on the rates of returns on the Phisix found a two-month lag to be appropriate for both the pre- and post-liberalization periods. This study further reveals that diversification will have to cross regional borders since an emerging market like that of the Philippines appears to be less segmented. Because there are practically no barriers to information flow between countries, such flow of information has made possible the consolidation of industries and as a whole may have determine the movement of stock prices. Such information flow also means fund managers will increasingly find it more difficult to beat the market. Risk management calls for the use of more scientific measures such as ARCH and GARCH in assessing risk through stock price volatility clustering which can afford fund managers signals as to the timing for the rebalancing of investors' portfolios.

Abstract Format






Accession Number


Shelf Location

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

Physical Description

1 computer optical disc : ; 4 3/4 in.


International economic integration; Philippines--Economic integration; Deregulation--Philippines

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