A causal-comparative study of the risk and return of the stocks included in the Philippine composite index from periods January, 1998 to May, 2001

• Main Authors: Briones, Verona T., Cruz, Juan Paolo S., Llamas, Patricia Ann M., Yanez, Katherine Ann C.
• Format: text
• Language: English
• Published: Animo Repository 2001
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17119
• Institution: De La Salle University

The purpose of this paper is to determine the applicability of the Markowitz Portfolio Theory and the Capital Asset Pricing Model in the Philippine Stock Market. In order to verify this, the proponents computed the returns as well as the betas of the thirty (30) PHISIX stocks so as to determine the relationship between risk and return. To further verify this, the researchers, tested the data using various statistical tools such as T-test, F-test and P-value test. The period covered were from January, 1998 to May 2001 of stock returns on a monthly basis. The results of this study showed that data was inconclusive and thus further study is recommended and a more normal and longer time frame should be considered.