Browsing by Author "Cao, Cayenne T."
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Item Restricted The impact of natural disasters on Philippine stock market: an analysis utilizing VAR and GARCH(2023-07) Cao, Cayenne T.; Catap, Diana Louise A.; Jandoc, Karl Robert L.This study investigates the relationships between natural disasters and the Philippine stock market through the utilization of Vector Autoregression (VAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. Through the GARCH analysis, we found that floods and droughts both have a negative impact on the Industrials, Property, Services, and Mining and Oil Sectors. The VAR model shows that drought has a negative impact on the closing price of the mining and oil sector and storms have a positive effect on the closing price of the property sector. As for the natural disaster’s effects on Macroeconomic factors, our analysis shows that volcanic activity has a negative relationship with the exchange rate and so does drought with the inflation rate. Our results suggest that any financial decisions to be made that account for the volatility effects of natural disasters may be done in consideration of the factors that have significant impacts on closing prices.