Date of Publication

4-18-2024

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

Subject Categories

Business | Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Joseph James F. Lago

Defense Panel Chair

Edwin B. Valeroso

Defense Panel Member

Ricarte Q. Pinlac
Niño D. Datu

Abstract/Summary

This study explores stock categorization in Southeast Asian equities markets, focusing on the industrial and services sectors. Employing Discriminant Function Analysis (DFA) and Factor Analysis, the influence of financial variables on stock categorization is examined, utilizing quarterly data sourced from the Refinitiv database. The analysis involves model-based imputations, structural break analysis, and logistic regression, conducted in the R programming language. Descriptive statistics highlight significant variations in financial metrics across countries, with distinct patterns observed in factors influencing stock categorization. Logistic regression models reveal the collective impact of financial variables on sector differentiation, supporting tailored approaches for each country. The integration of DFA and Factor Analysis enhances prediction accuracy, emphasizing the importance of country-specific factors in financial analysis. The study underscores the significance of geopolitical events and data quality in understanding market dynamics and informs recommendations for stakeholders and policymakers in navigating dynamic financial landscapes.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stocks—Southeast Asia; Finance—Southeast Asia

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Embargo Period

4-18-2025

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Available for download on Friday, April 18, 2025

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