Browsing by Author "Patagan, Remrick E."
Now showing 1 - 2 of 2
Results Per Page
Sort Options
Item Restricted Calendar effects in the Philippine Stock Exchange: new evidence and efficiency implications(2014-05) Patagan, Remrick E.; Paderanga, Cayetano W. Jr.Calendar effects, or above-normal returns associated with certain calendar time periods, are a well-documented phenomenon in economics and finance. This study examines calendar effects in the Philippine Stock Exchange (PSE) using recent data on the daily closing values of the PSE index from 02 January 1995 to 29 December 2012 and employing robust methods that take into account the stylized facts of financial time series. We also consider the stability and persistence of the calendar effects over time. We find strongly negative and positive stock market returns at the start and end of the week, respectively: returns are lowest during Tuesdays and highest during Thursdays even after accounting for time-varying volatility, which is also taken as a measure of risk. Our results also show significantly negative and positive returns in August and December, respectively, although these tend to be small in percentage terms. Both monthly effects, however, diminish once time-varying volatility is controlled for. Instead, the January effect becomes significant, in line with similar findings in previous studies. To further improve the robustness of our estimates, we also do alternative runs that include a lagged return variable. Our initial findings hold, though the January effect disappears. Lastly, we use the above results to illustrate the effects of simple trading strategies using three years of historical PSE data. On average, a trading strategy of "Buy-on-Monday/Sell-on-Friday" yielded positive weekly gains 54.54 percent of the time compared to a "Buy-on-Friday/Sell-on-Monday" strategy's 38.63 percent average. Over a two-year period, cumulative returns in the first strategy were 15.59 percent compared to-14.76 percent in the second strategy. But as to whether this is a feasible trading strategy in actual practice, the answer depends on whether one believes that past prices affect future prices and whether potential gains outweigh possible transactions costs.Item Restricted Housing finance in the Philippines equity and efficiency(2009-03) Ubalde, Karla Andrea M.; Patagan, Remrick E.