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Item Restricted Unraveling economic Policy Uncertainty: a study on the effects of category-specific US policy uncertainty on the Philippine stock market(2017) Juico, Miguel Antonio N. ; Monje, Justin Philip Abraham B. ; Escresa, Laarni C.This study investigates the impact of categorical US policy uncertainty on Philippine stock prices and tests for the existence of long-run relationships between them. We use five categories from the US economic policy uncertainty index developed by Baker et al. (2013), namely monetary, regulation, government spending, trade, and sovereign debt policy uncertainty, and the values of the Philippine Stock Exchange PSEi Index in providing an Autoregressive Distributed Lag (ARDL) model. We find that monetary and lagged values of trade policy uncertainty negatively affect PH stock prices, while government spending and lagged values of regulation have a positive relationship with it. We then employ an ARDL Bounds Test and find that there exists a negative relationship between the PSEi and monetary and trade policy uncertainty, and that only government spending policy uncertainty has a positive relationship with it. The results may be explained, in part, by macroeconomic effects of US EPU and their consequent effects to stock prices. Investors’ risk aversion and the Efficient Market Hypothesis, meanwhile, shows the mechanisms through which categorical US EPU affected Philippine equities.Item Restricted The impact of interest rates on Philippine stock market(2001-03) Patalinghug, Jason Albert C.; Solon, Orville C.Empirical studies on the relationship between interest rates and Philippine stock market are rare. This study investigates the influence of interest rates on Philippine stock market. The impact of foreign interest rates on Philippine stock market is examined by regressing separately changes in U.S. discount rate, Federal Funds rate, U.S. prime rate, and LIBOR on changes in Philippine stock market index. The impact of domestic interest rates on Philippine stock market is analyzed by regressing individually the change in the savings deposit rate, Treasury bill rate, and time deposit rate on the change in Philippine stock market index during the 1994-2000 period. The estimates indicate that U.S. discount rate and Federal Funds rate do not affect Philippine stock market. But U.S. prime rate affects Philippine stock market. Among domestic interest rates, only savings deposit rates affect Philippine stock market. However, most of the evidence supports the hypothesis that the Philippine stock market is efficient in the semistrong form.Item Restricted Regulating the Philippine stock market: the securities regulation code and the information efficiency of Philippine stock prices(2011-10) Del Castillo, Noel B.; de Dios, Emmanuel S.This paper investigates the impact of the Securities Regulation Code (SRC) on the information efficiency of the Philippine stock prices. Research in other countries has shown that new regulation has had a long-term effect in improving the information efficiency of stock prices. The paper replicates those studies using a sample of 38 stocks drawn from listed Philippine companies for the period 1998-2008. The results show an improvement in information efficiency over the period and the significant impact of the SRC.Item Restricted The impact of the foreign exchange crisis on the Philippine stock market(1998-10) Santos, Rodolfo M.; Miranda, Casimiro V.Item Restricted Philippine stock market efficiency: an empirical investigation(1988-01) Claudio, Catherine C.; Consunji, Gretchen C.Item Restricted An essay on the Philippine stock market(1988-02-25) Verdolaga, Leonardo de Jesus; Policarpio, Raul Maria Tumang