Bull v. bears: an inter-country and inter-sector correlation and cointegration analyses of the Philippine stock exchange (2000-2010)
Date
2011-03
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Abstract
In 2009, the PSE was left behind by emerging markets such as the Stock Exchange of Thailand and Shenzhen Stock Exchange. On On the other hand, PSE
outperformed PSE outperformed both emerging and developed markets The 2010. The relationships that Philippine Stock Exchange Philippine Stock Exchange and major global indices are not fathomable by comparing stock returns alone; indeed, these relationships Therefore, both dynamic and complex. Therefore, this paper shall attempt to examine PSEi relationships that exist between Sector Indices (2008-2010) (2000-2010) and the PSE Sector Indices (2008-2010) with those of major global indices during market uptrends and market downtrends through correlation and cointegration analyses.
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Keywords
Philippine stock exchange, Stock