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Item Restricted Tropical cyclones and their impact on stock market returns and volatility(2023-07-03) De Guzman, Christian Louis G.; Fabula, Jewel Kyle M.; Monsod, Toby Melissa C.The Philippines is one of the world’s most disaster-prone countries. These disasters have an impact on the economy, which may influence the stock market returns and volatility. We used an ARMAX-EGARCH model to analyze the impact of tropical cyclones on the Philippine Stock Exchange Index (PSEi) and some sectoral indices (Financial, Industrial, Property, Mining and Oil). As an extended analysis, we also control for the disaster location in 1-day, 5-day, 10-day, and 15-day event windows. The results show that tropical cyclones that affected Visayas have significant same-day negative impacts on the average market returns. In contrast, tropical cyclones that affected Mindanao have significant same-day positive impacts on the average market returns. Meanwhile, the effect of tropical cyclones on sectoral market returns and volatility can be positive, negative, or no effect, depending on affected regions of the disaster, market sector considered, or event window being analyzed. Overall, our results indicate that location and time are salient factors in assessing the impact of tropical cyclones on the stock market as well as the sector in which the analysis is performed.Item Restricted The impact of natural disasters on Philippine stock market: an analysis utilizing VAR and GARCH(2023-07) Cao, Cayenne T.; Catap, Diana Louise A.; Jandoc, Karl Robert L.This study investigates the relationships between natural disasters and the Philippine stock market through the utilization of Vector Autoregression (VAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. Through the GARCH analysis, we found that floods and droughts both have a negative impact on the Industrials, Property, Services, and Mining and Oil Sectors. The VAR model shows that drought has a negative impact on the closing price of the mining and oil sector and storms have a positive effect on the closing price of the property sector. As for the natural disaster’s effects on Macroeconomic factors, our analysis shows that volcanic activity has a negative relationship with the exchange rate and so does drought with the inflation rate. Our results suggest that any financial decisions to be made that account for the volatility effects of natural disasters may be done in consideration of the factors that have significant impacts on closing prices.Item Restricted The impact of COVID-19, lockdowns, and vaccines on the Philippine stock market(2022-02) Sañga, Michael Harvey J.; Songsong, Julian P.; Mendoza, Adrian R.This paper examines the effect of the COVID-19 pandemic on stock returns and stock volatility of firms listed in the Philippine Stock Exchange (PSE). We apply fixed effects panel data regression to analyze the impacts of the growth rates of COVID-19 cases and deaths as well as the different levels of lockdowns on stock returns. As an extended analysis, we incorporate the growth rate of COVID-19 vaccine doses administered as a control for pharmaceutical intervention. We also estimate the impacts of COVID-19 on stock returns at the sectoral level. The study covered the period January 30, 2020 to September 15, 2021. The results show that the growth rates of COVID-19 cases and deaths have negative effects on stock returns, while the lockdowns in general positively impact stock returns when not controlling for vaccine administration. The results also show that the growth rates of COVID-19 confirmed cases and deaths increase stock volatility and that stricter lockdowns decrease volatility in the presence of effective pharmaceutical interventions.Item Restricted Quantifying stock market trading behavior using Google trends: the Philippine case(2013-12) Ubaldo, Victor Cesar I.; Mendoza, Gabriel Antonio M.; Alonzo, Ruperto P.Google Trends compiles search query volume of search terms. We relate this to the financial market by hypothesizing that search query volume can be an indicator of investor uncertainty. We assume that investors search for more information in the Internet when they are most uncertain about the state of the market. Conversely, investors may search for less information when they are optimistic about the market. Thus search terms related to finance may precede decreases in stock prices, while low search query volume might precede increases in stock prices. Moreover, if search query volume can help predict the movement of stock market prices, then profits may be made. Using a hypothetical portfolio in a time range of January 2004 to August 2013, we perform a strategy consisting of weekly decisions based on whether search query volume has relatively increased or decreased: long positions are made when search volume has relatively increased, and short positions are made when search volume has relatively decreased. In an alternate strategy, we make no transaction instead of making short positions. Using search volume data from Google Trends of 89 finance-related terms and using the Philippine Stock Exchange index as a basis for transaction gains, we found that the term success best predicts the stock market. We also test for Granger causality, in which we propose ·that success Granger causes the Philippine Stock Exchange index.