Filters

2013 - 201932020 - 20252
Reset filters

Settings

Has files: true × Subject: volatility ×

Search Results

Now showing 1 - 5 of 5
  • ItemRestricted
    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.
  • ItemRestricted
    Understanding the effects of democracy status and political risks to the volatility Of the stock market returns in the Philippines
    (2019-01) Tomo, Ivanah Irene Michaela M. ; Reside, Renato Jr. E.
    The Philippine political system and economic landscape have always been unique and colorful. They have been molded by different positive and negative events that have been marked historically. The current situation and the future perspective of the people with regards to the politics and economy in the Philippines are not only influenced by the history, but also by the different internal and external factors that they are experiencing. The Philippines is now once again living in a very exciting and uncertain time. Philippine politics, and its stakeholders are active and involved now more than ever. It is important to recognize that factors in the macro-level like the politics and economics may affect each other and a change in one can have an implication to another. This research aims to contribute more to the broad studies on the relationship of politics and economics by studying the effect of the Democracy Ratings and Political Risks to the volatility of the stock market returns of the Philippines from year 1995- 2017. The results of the research show that the lower the political risk, the lower the volatility of the stock returns. The researcher believes that the study will be helpful in establishing a clearer relationship between politics and the behavior of stock market.
  • ItemRestricted
    The effect of presidential elections and presidential winning probabilities on stock market volatility
    (2018-05-04) Pujalte, Ramuel V. ; Vitales, Ryan Gabriel M.
    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.
  • ItemRestricted
    Consumption an the stock market in the Philippine: evidence from a vector autoregression approach
    (2013-10) Contreras, Sofia T.; Garcia, Czarina V.; Balanquit, Romeo Matthew T.
    This 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.
  • ItemRestricted
    Navigating uncertainty: the effect of West Philippine Sea geopolitical risk on Philippine Stock and Foreign Exchange Markets through OLS, GARCH, and Event Study
    (2025-06-06) Alcantara, Adrian M.; Tanjuatco, Rafael Emmanuel H.; Magno, Maria Cielo D.
    This study aims to find out the effect of geopolitical risk, specifically the West Philippine Sea dispute, on the Philippine stock and foreign exchange markets. The West Philippine Sea dispute continues to be a major concern for the Philippines and the sovereignty of territory. The study hypothesizes that the increased geopolitical risk due to the West Philippine Sea dispute lead to decreased market returns, PHP depreciation, and increased market volatility. Utilizing a custom West Philippine Sea Geopolitical Risk Index consisting of local news sources, namely The Manila Times, INQUIRER.net and Business Mirror, these hypotheses were tested using OLS, GARCH and event study empirical models. Results show that geopolitical risk from the WPS does not have a statistically significant effect on both the returns and volatility of the PSEi and USD/PHP exchange rate. In addition, the event study showed no significant abnormal returns around major WPS-related incidents. The Philippine markets are relatively insensitive to the local geopolitical events in the WPS. This can be likely due to investor sentiment in emerging markets having a stronger influence from global factors. The study contributes to the existing literature on emerging markets sensitivity to geopolitical risk in the context of the Philippines and West Philippine sea dispute.