Date of Publication

7-15-2023

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Tyrone Panzer Chan Pao

Defense Panel Chair

Annalene Bautista

Defense Panel Member

Benedict Bismark
Harold Cao

Abstract/Summary

This study explores the adherence of the Philippine stock market towards the Efficient Market Hypothesis (EMH) and Behavioral Finance during the COVID-19 pandemic. The returns of the Philippine Stock Exchange Index (PSEi) and the MSCI Philippines IMI 25/50 (MSCI) during the identified sub-periods were studied to understand the impact of released COVID-19 information to both indices. Using a GARCH model incorporating COVID-19 and technical indicators, it was found that the market adhered to market efficiency specifications in reflecting newly released pandemic information. The market was also found to be irrational during the second and third sub-periods, while it was rational during the first sub-period. Lastly, in the Philippine context, the Coronavirus Fear Index (CFI) was found to be a useful tool for measuring price volatility during the identified sub-periods.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stock exchanges—Philippines; COVID-19 Pandemic, 2020- —Philippines—Influence

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Embargo Period

8-9-2023

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