Browsing by Author "Garcia, Czarina V."
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Item Restricted Consumption an the stock market in the Philippine: evidence from a vector autoregression approach(2013-10) Contreras, Sofia T.; Garcia, Czarina V.; Balanquit, Romeo Matthew T.This paper empirically analyzes the relationship among consumption, stock market returns, and stock market volatility using evidence from the Philippines over the period 1998-2013. Based on the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, it is found that high volatility clustering occurs with high predictability in the Philippine stock market, but this does not lead to large changes in consumption. Results of the study using the Vector Autoregression (V AR) analysis also reveal that changes in the stock market do not Granger-cause changes in consumption.