Consumption an the stock market in the Philippine: evidence from a vector autoregression approach

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dc.contributor.advisorBalanquit, Romeo Matthew T.
dc.contributor.authorContreras, Sofia T.
dc.contributor.authorGarcia, Czarina V.
dc.date.accessioned2024-11-08T06:55:54Z
dc.date.available2024-11-08T06:55:54Z
dc.date.issued2013-10
dc.description.abstractThis 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.
dc.identifier.urihttps://selib.upd.edu.ph/etdir/handle/123456789/904
dc.language.isoen
dc.subjectconsumption
dc.subjectGARCH
dc.subjectstock market returns
dc.subjectV AR
dc.subjectvolatility
dc.titleConsumption an the stock market in the Philippine: evidence from a vector autoregression approach
dc.typeThesis

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