Date of Publication
7-7-2022
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 Department
Thesis Advisor
Ronald Ednalan, Jr.
Defense Panel Chair
Robert Rol Richard Raymond B. Ramos
Defense Panel Member
Soleil G. Baria
Mc Reynald II S. Banderlipe
Abstract/Summary
The objective of this study is to analyze the relationships and influence between default risk and the share prices of the selected Philippine Financial Institutions. The selected Philippine Financial Institutions are: Bank of the Philippine Islands, Banco de Oro Unibank, Metropolitan Bank and Trust Company, China Banking Corporation, and Philippine National Bank. Default risk is represented by the following default risk measures: Non-Performing Loans Ratio, Capital Adequacy Ratio, General Loan Loss Provision, and Allowance for Credit Losses. The researchers gathered quarterly data on the selected default risk measures and the stock prices of the selected Philippine Financial Institutions for the time period of 2015 to 2020. The study utilized a quantitative research design and conducted Pearson correlation tests and Multiple Linear regression tests to determine the relationship between default risk and share prices and the influence of default risk on the share prices of the selected Philippine Financial Institutions. The findings of the study show that two (2) out of the four (4) default risk measures exhibited significant relationships with the share prices which are Non-Performing Loans Ratio (NPL) and Allowance for Credit Losses (ACL). The panel regression analysis found both the NPL ratio and ACL have a significant influence on the 95% confidence level with the final model using the Feasible Generalized Least Squares model for panel data.
Abstract Format
html
Format
Electronic
Keywords
Financial risk management—Philippines; Stocks—Prices—Philippines; Financial institutions—Philippines
Recommended Citation
Amano, G., Gomez, J., Juan, G., & Pioquinto, J. (2022). Philippine financial institutions' counterparty default risk and stock price relationships: An analysis. Retrieved from https://animorepository.dlsu.edu.ph/etdb_finman/34
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Embargo Period
7-6-2022
