Date of Publication


Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management


Ramon V. Del Rosario College of Business


Financial Management Department

Thesis Advisor

Alfredo M. Santoyo

Defense Panel Chair

Karina Clara C. Romero

Defense Panel Member

Vivian Y. Eleazar
Fluellen F. Bautista


After the World Health Organization’s (WHO) official announcement of the COVID-19 as a global pandemic, it did not only affect public health but also severely damaged the global economy. Prior research has proven that countries such as the Philippines would be greatly affected by the pandemic since the country is considered a lower-middle-income country and an emerging economy. The main purpose of this study is to analyze the relationship between the confirmed daily number of COVID-19 cases, lockdown classifications in the National Capital Region (NCR), and the daily returns of the Philippine Stock Exchange Index (PSEi), All Shares Index, and the sectoral indices of the Philippines through the utilization of Pearson Correlation Coefficient test (Pearson’s R), robust multiple regression model, and a lagged regression model. The findings of the Pearson’s R tests indicate that all the returns of the indices are negatively correlated to the COVID-19 cases; with the Financial Index was the most affected, while the Mining and Oil index were the least affected. The results of the robust regression tests show that the percentage change of COVID-19 affects the PSEi, All Share index, Financial index, Holding Firms index, and Property index; while the lockdown phases are insignificant for all of the robust regression tests. For the lagged regression tests, all of the independent variables were found to be insignificant except for the percentage change of daily COVID-19 cases for the Services index. Overall, the results of the study prove that there is a relationship between the daily COVID-19 cases and the Philippine stock returns, but it only affects a small part of the market, and that the initial drop in stock returns at the beginning of the pandemic was an overreaction of the market, but in the succeeding years, it was able to adapt and accept the situation so it was able to go back to business as usual.

Abstract Format







Stock exchanges and current events—Philippines; Stock price indexes—Philippines

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