Granger causality between stock market and selected macroeconomic indicators: Evidence from the Philippines

Date of Publication

4-4-2023

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Marycris Albao

Defense Panel Chair

Benedict Rañoa Bismark

Defense Panel Member

Mr. Rene D. Cuartero
Mr. Reinnite Madrid

Abstract/Summary

This study utilizes the Toda-Yamamoto (1995) method to evaluate the Granger causality between the Stock Market index and a few macroeconomic indices. The Philippine Stock Exchange index (PSEi), which represents the stock market, is the subject of this study, which focuses on monthly data from January 2007 to December 2021. Macroeconomic indicators include Consumer Price Index, Exchange Rate, Industrial Production, Interest Rate, Money Supply, and Trade Balance. First, results has shown that the Consumer Price Index and Money Supply are both granger caused by the PSEi. Second, the Stock Market has shown a negative relationship with Exchange Rate, Industrial production, and Trade Balance. Third, Interest Rate has no significant relationship with the PSEi. Lastly, macroeconomic indicators didn’t indicate significant results to be conclusive, thus their relationship with the stock market cannot be concluded. Indicating that the PSEi is informationally efficient in regards to the selected macroeconomic indicators in the study.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stock exchanges—Philippines; Economic indicators—Philippines

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Embargo Period

4-22-2033

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