The effect of presidential elections and presidential winning probabilities on stock market volatility
| dc.contributor.author | Pujalte, Ramuel V. | |
| dc.contributor.author | Vitales, Ryan Gabriel M. | |
| dc.date.accessioned | 2024-09-27T05:46:07Z | |
| dc.date.available | 2024-09-27T05:46:07Z | |
| dc.date.issued | 2018-05-04 | |
| dc.description.abstract | This thesis tries to address the lack of literature when regarding the Philippines Stock volatility, especially in connection to the presidential campaign/election period. Previous studies for the US election periods concluded that either who is winning the election or if there is a very probable winner in the election will affect the stock price volatility. For the latter, it is stated that as a clear winner emerges, stock price volatility increases. We aim to find out which of these results apply to the Philippine scenario. We used the AR-GARCH model to estimate the conditional variance from January 2000-September 2017, and to determine the effect of the election period on stock price volatility. We also used the ARIMA model to estimate the effect of candidate winning probability on stock price volatility for each campaign/election period. We found when the campaign/election period occurs, then stock price volatility becomes higher than normal levels. We also found that what affects stock price volatility within the campaign/election period is which candidate is most probable to win the election. | |
| dc.identifier.uri | https://selib.upd.edu.ph/etdir/handle/123456789/449 | |
| dc.language.iso | en | |
| dc.subject | AR-GARCH | |
| dc.subject | ARIMA | |
| dc.subject | volatility | |
| dc.subject | stock price | |
| dc.subject | stock returns | |
| dc.subject | winning probability | |
| dc.title | The effect of presidential elections and presidential winning probabilities on stock market volatility | |
| dc.type | Thesis |