Browsing by Author "Mendoza, Adrian R."
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Item Restricted A random walk down Wuhan Street : event analysis of the impact of COVID-19 on the stock returns of vaccine firms(2022-02) Berdin, Dylan Benjamine Alyssandra S.; Laureta, Alfonso Gabriel A.; Mendoza, Adrian R.Those who can spot a crisis coming are bound to prepare for it, while those who could promise to end it are bound to profit. The unprecedented COVID-19 pandemic saw unprecedented movements in stock prices. From when mysterious pneumonia cases of unknown cause were first reported in Wuhan on December 31, 2019, to when the Pfizer-BioNTech COVID-19 vaccine was given full FDA approval, COVID-19 vaccine firms like Moderna, Novavax, and BioNTech have gained 5428.63%, 3065.95%, and 2583.29% respectively. Our study sought to investigate changes in stock prices preceding principal events related to the emergence and progression of COVID-19, as well as the vaccination efforts against it. We calculate for cumulative abnormal returns by using the Event Study Methodology (ESM) to quantify how stock returns of COVID-19 vaccine firms are impacted by (1) the first official public report of mysterious pneumonia cases in Wuhan, (2) the WHO’s declaration of COVID-19 as a pandemic, and (3) the issuance of emergency use authorization for COVID-19 vaccines. Results show cumulative abnormal returns across specific COVID-19 vaccine firms on all event dates. We observe premature buying and premature selling activity prior to actual public announcements, and link this to asymmetric information, causing limits to market efficiency. However, as per the strong-form efficient market hypothesis, we maintain this as a reflection of insider information and regard it as an efficient market response.Item Restricted Add to cart: the impact of COVID-19 government stringency measures on e-commerce sales(2023-05-04) Ma, Audrey Reiko S.; Villadolid, Leland Alfonso S.; Mendoza, Adrian R.This paper investigates the effect of stringency on the growth of e-commerce sales in Australia, Canada, South Korea, the United States, and the United Kingdom at the height of the COVID-19 pandemic. We ran pooled ordinary least squares regressions using monthly data from March 2020 to December 2021, which covers the onset and the exponential rise of COVID-19 cases during the first two years of the pandemic. The results show that stringency has a lagged positive effect on e-commerce, indicating that stricter government containment measures encouraged more consumers and sellers to shift to e-commerce platforms at the height of the lockdowns. This is consistent with the technological acceptance framework which suggests that stringency increased the perceived usefulness of e-commerce since it provided a safe alternative that allowed consumers and firms to perform economic transactions without violating the government’s containment measures.Item Restricted Analyzing carbon dioxide emissions and economic growth in low- and high-income countries: an empirical test of the environmental kuznets curve(2022-02-04) Del Rosario, Patricia Nicole P.; Garcia, Giselle Liaa L.; Mendoza, Adrian R.This study aims to test the validity of the environmental Kuznets curve (EKC) hypothesis for high-income and low-income countries. Using data on seven low- income and 33 high-income countries from 2000 to 2020, the researchers performed fixed-effects and random-effects regressions to test the presence of the hypothesized inverted U-shaped relationship between GDP per capita and CO2 emissions per capita, while controlling for the effects of energy variables and other country-level indicators. Although the EKC is both valid and significant for the whole panel, tests for the two income sub-groups showed that the relationship is stronger for high-income countries while inconclusive for the low-income category. In particular, the results showed that the EKC is valid and significant for the two income groups when no other control variables were included in the regressions. However, the results slightly changed for low-income countries when the controls were added to the model, suggesting that factors other than income are also significant in determining the level of CO2 emissions.Item Restricted Assessing cointegration and spillover effects in East and Southeast Asia using an expanded financial conditions index(2022-05-25) Rodulfo, Hannah Mariz R.; Tabud, Shannah Lily C.; Mendoza, Adrian R.This study constructs monthly financial conditions indices (FCIs) for selected developing and large Asian economies using a common factor methadology based on Hatzius et al [2010]. Financial indicators are selected based on identified monetary transmission channels in the literature. The newly constructed FCIs for Asian economies were successful in capturing major financial crises. These constructed FCIs were then used to asses regional financial integration through the VAR-based Johansen and Juselius cointegration test. Asian FCIs were found to have long-run cointegration but are more cointegrated prior to the pandemic. Given this cointegration, the Diebold and Yilmaz spillover index was used to analyze the regional transmission of shocks. All developing countries except China were net transmitters of spillovers, while the equity market was a consistent net transmitter of financial shocks.Item Restricted COVID-19 and gender inequality in the labor market: the Philippine experience(2022-05) Bautista, Keisha Aeris C.; Retardo, Janell R.; Mendoza, Adrian R.This study examines whether COVID-19 exacerbated the existing gender gaps in the Philippine labor market. Using the Labor Force Surveys for October 2019 and October 2020, we perform probit regressions and post-estimation tests to compare the labor market experience of men and women before and during the pandemic. Three key indicators of labor market activities are analyzed: labor force participation, employment, and decision not to work due to household responsibilities. These outcomes are then assessed against a set of household-related characteristics such as marital status, having young children, and being a household head. The results confirm that significant gender gaps persist in terms of the contribution of the household-related determinants in men and women’s probability of labor force participation and employment during the pandemic. For instance, having young children has contrasting effects on men's and women’s labor market activities: positive for men but negative for women. Further the results confirm the gender bias in terms of the decision not to work or look for work due to family duties. Being married and having young children significantly increase women’s probability of performing unpaid household work, while there is no similar evidence for men. On a positive note, our results do not provide evidence that COVID-19 exacerbated the gender gaps in terms of the contribution of household-related variables to labor force participation, employment, and performance of unpaid household work.Item Restricted Do credit and training improve Fishing income? the case of the fisherfolk in Padre Burgos Mariculture Zone, Quezon, Philippines(2022-01-28) Andres, Jan Marinelle M.; Magistrado, Adolf Miguel I.; Mendoza, Adrian R.This study analyzes the relationship of access to training and credit with the income of mariculture fisherfolk in Padre Burgos, Quezon, Philippines. The data used are based on a survey covering all fisherfolk households in four barangays in Padre Burgos. In the quantile regression, both access to training and credit do not have a significant relationship with fishing income across quantiles. This may be because of the lower capacity of poor fisherfolk to make use of aid that would improve their productivity. Therefore, the variables of interest have weaker effects on their income. However, the signs indicate how income and the variables of interest are possibly related, which tend to vary depending on the level of fishing income. At lower income levels, both credit access and training have a negative relationship with income. This may be explained by the high opportunity costs of time investment and the debt traps experienced by fisherfolk with relatively lower income. At higher quantiles, the relationship of access to training and credit with fishing income becomes positive. This suggests that at higher income levels, the opportunity cost of time investment in training is offset by the expected long-run increase in productivity due to training. In addition, the fisherfolk become less dependent on credit to pay their debt, which allows them to use the loans for fishing investment.Item Restricted Do political dynasties hinder gender equality in Philippine local politics?(2023-07-03) Lim, Allen Shaira A.; Salud, Alessandra Maria B.; Mendoza, Adrian R.This study analyzes the relationship between provincial political dynasties and the electoral outcomes for female officials. Using fixed effects panel data regressions, we analyze the impact of dynastic share per province on the share of locally elected female officials in a sample of 78 provinces over five election years: 2007, 2010, 2013, 2016, and 2019. Contrary to our hypothesis, the share of political dynasties within a province is negatively linked to local female electoral outcomes. The results also showed that political dynastic share positively affects local electoral outcomes for male candidates. These indicate that political dynasties still favor male members over female members when fielding candidates in local offices. The results also suggest that dynasties further widen the gender gap in local politics, in favor of men. Political dynastic share also pulls the share of local female officials away from the 30 percent threshold set by the Sustainable Development Goals. In other words, an increase in political dynastic share steers local female participation away from the goal of equalizing representation. Combining this result with the benchwarmer effect wherein women act as placeholders once the dynastic incumbent has exhausted the term limit, we posit that dynasties and dynastic women may pose a threat on women’s substantive representation and meaningful participation in local politics.Item Restricted Does climate change affect sovereign credit ratings? evidence from tropical and non-tropical countries(2022-06) Aligway, Ellji C.; Onggocan, Tony C.; Mendoza, Adrian R.This study investigates how climate change vulnerability and readiness affect the sovereign credit ratings of countries in tropical and non-tropical regions. The study explores the composite indices developed by the Notre Dame Global Adaptation Initiative (ND-GAIN) which measure a country’s overall susceptibility to climate change (i.e., vulnerability) and its capacity to adapt with the consequences of climate change (i.e., readiness). Using a panel dataset of 60 countries observed over the period 2011 to 2019, we estimate a baseline panel-fixed effects model to analyze the impact of climate change vulnerability and readiness on the sovereign credit ratings issued by Moody’s, Fitch, and Standard and Poor’s. The econometric results show that climate change vulnerability has no significant effect on sovereign credit ratings after controlling for readiness and other macroeconomic variables. On the other hand, climate change readiness has a positive and significant effect on sovereign creditworthiness. However, our results show that better climate change readiness benefits the sovereign credit ratings of non-tropical countries more than tropical countries. The results of the baseline panel-fixed effects regressions are robust when tested across various specifications using subsamples (i.e., tropical and non-tropical); across credit rating agencies (i.e., Fitch, Moody's, and S&P); and alternative econometric models (i.e., ordered probit). Overall, the econometric results suggest a vicious cycle where tropical countries end up with low sovereign creditworthiness due to the difficulty of getting ratings upgrade, which can be traced to low climate change readiness. This highlights the urgency for countries to start mainstreaming climate change factors in their future fiscal and financial planning and policymaking.Item Restricted In search of COVID-19: analysis of the impact of negative investor sentiment on ASEAN-6 stock markets using Google trends data(2023-05-12) Alcedo, Maxine C; Go, Hannah Nicole B.; Mendoza, Adrian R.This study analyzes the effects of negative retail investor sentiment regarding COVID- 19 on the stock market indices of six countries in the Association of Southeast Asian Nations (ASEAN), namely Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam. We argue that investors demand more information in times of uncertainty (e.g., pandemics) to lessen their exposure to risk, which in turn influences their behavior in the stock market. Using weekly data from January 2020 to July 2022 to capture the beginning, peak, and decline of the pandemic, we analyze the abnormal increase in Google search volume relating to COVID-19 to measure uncertainty and panic in investor behavior. In particular, we used the “Coronavirus disease 2019” topic in Google Trends as a proxy for negative investor sentiment relating to the pandemic. Using pooled ordinary least squares, we found that negative investor sentiment has a significant adverse effect on ASEAN stock market returns. Our fixed effects regression showed that negative investor sentiment has a significant positive effect on ASEAN stock market volatility. Our findings also suggest that negative investor sentiment has a greater effect on ASEAN stock markets than changes in new COVID-19 cases. These results are robust after controlling for relevant factors such as government stringency measures, financial market size, oil prices, real exchange rates, and global interest rates. The growth of new COVID-19 cases has a significant negative effect on stock market returns. Faster growth in new vaccinations positively impacts returns as well.Item Restricted Incidence of tobacco excise taxes and revenue generation in the Philippines(2007-03-30) Mendoza, Adrian R.; Tiansay, Aida May L.We evaluate tobacco excise taxes m terms of their incidence and capacity to generate revenue. Using income and tobacco expenditure data from five Family Income and Expenditures Surveys 1991 to 2003, we adopt a partial equilibrium analysis to estimate the overall incidence, as well as the incidence in urban and rural areas. We then calculate for the Suits indices to determine the degree of progressivity of the excises. Moreover, to examine the capacity of the excises to generate revenue, we test the assumption in the Ramsey rule which states that the demand for tobacco products is price inelastic. Using the ordinary least squares (OLS) method, we adopt the rational addiction theory to model the demand for tobacco during the period 1990 to 2006. The estimated price elasticities from the rational addiction model are then used to analyze the effect of price responsiveness on tax yields. The results show that the poor, especially in urban areas, are the most heavily hit by the tobacco excises. Further, the taxes hurt the consumers in rural areas more than in urban areas. The OLS estimates appear to support the hypotheses of the rational addiction theory, namely, that present tobacco consumption is affected by both past and future consumption, and that the demand for tobacco becomes more price responsive overtime. Thus, the increasing negative price elasticities of the demand for tobacco seem to adversely affect the capacity of the excises for revenue generation.Item Restricted Philipine firms in global value chains: innovation, governance, and upgrading(2019-08) Mendoza, Adrian R.; de Dios, Emmanuel S.Item Restricted Social capital, trust in government, and the effectiveness of fiscal policy responses to COVID- 19(2023-03) Panganiban, Eryka Kolyn M.; Singson, Giulian Raphael B.; Mendoza, Adrian R.This study analyzes the effectiveness of demand-side fiscal policy responses in reducing COVID-19 cases, and whether social capital and trust in government have an intervening effect on this relationship. Using random effects panel data regression, we analyze the respective impacts of income support and fiscal stimulus on daily COVID- 19 cases, as well as their interaction with social capital and trust in government in a sample of 31 countries. This study covers the first year of the pandemic, from May 13, 2020 to December 31, 2020. We find that both income support and fiscal stimulus have significant negative effects on the spread of COVID-19, with income support having a much larger impact. Contrary to our hypothesis, social capital weakened the negative effect of income support on COVID-19 cases, which we attribute to a possible substitution effect. The results also showed that higher levels of trust in government strengthen the negative effect of large amounts of income support.Item Restricted The impact of adverse weather conditions and financial development on remittances(2017-12-18) Redelicia, Rose Margaret G. ; Tiu, Ellaiza V. ; Mendoza, Adrian R.This study tests for the behavior of remittances in times of thin financial markets and extreme rainfall condition to determine whether remittances serve as insurance or investments. Given the assumption that migrant workers are altruistic, it is assumed that remittances would increase in times of extreme weather conditions and low levels of domestic credit. But contrary to the hypothesized results, migrants decrease their remittances in times of adverse weather conditions. Furthermore, there is a positive relationship between financial development and remittances. These results are in favor of the investment motive of remittances. However, the positive relationship with the foreign exchange rate, inflation rate, and unemployment rate and the negative relationship with the interest rate suggest otherwise. They still seem to support the initial hypothesis that migrant workers remit altruistically, seeking to meet their families’ lack of disposable income and domestic credit. Evidently, migrant motives for remittances cannot be solely for insurance or investment. As presented in the model, both play into consideration.Item Restricted The impact of COVID-19, lockdowns, and vaccines on the Philippine stock market(2022-02) Sañga, Michael Harvey J.; Songsong, Julian P.; Mendoza, Adrian R.This paper examines the effect of the COVID-19 pandemic on stock returns and stock volatility of firms listed in the Philippine Stock Exchange (PSE). We apply fixed effects panel data regression to analyze the impacts of the growth rates of COVID-19 cases and deaths as well as the different levels of lockdowns on stock returns. As an extended analysis, we incorporate the growth rate of COVID-19 vaccine doses administered as a control for pharmaceutical intervention. We also estimate the impacts of COVID-19 on stock returns at the sectoral level. The study covered the period January 30, 2020 to September 15, 2021. The results show that the growth rates of COVID-19 cases and deaths have negative effects on stock returns, while the lockdowns in general positively impact stock returns when not controlling for vaccine administration. The results also show that the growth rates of COVID-19 confirmed cases and deaths increase stock volatility and that stricter lockdowns decrease volatility in the presence of effective pharmaceutical interventions.Item Restricted The role of foreign direct investment and public-private partnership in economic growth: Philippines, 1991-2020(2023-01-19) Agustin, Juan Carlos P.; Sales, Marianne C.; Mendoza, Adrian R.The role of foreign direct investment (FDI) and public-private partnership (PPP) projects in economic growth has been a topic of discussion for some time now. However, the conclusions from empirical studies tend to vary, including those in the Philippines. Using data from the World Development Indicators database of the World Bank, the Philippine Statistics Authority (PSA), and the Public-Private Partnership Center (PPPC) of the Philippines, this study employs descriptive and econometric analysis to estimate the impact of FDI inflows and PPP projects on the economic growth of the Philippines over the period 1991–2020, along with the usual components of GDP, i.e., consumption spending, investment, and government expenditure. The evidence shows that FDI and PPP infrastructure projects have a positive impact on economic growth, but only PPP infrastructure projects produce significant results. Unfortunately, the COVID-19 pandemic posed a major constraint on FDI and PPP projects. Nevertheless, it is hoped that the results of this study will lead to policy implications that would promote FDI and PPP projects for faster economic growth and inclusive development.