The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007

This study aimed to determine if changes in key policy interest rates and growth of money aggregates have asymmetric effects on stock returns during bear and bull markets using Markov Switching models. Evidence from the stock market index from 2003 to 2007 for the financial sector in the PSE showed...

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Main Authors: De la Vega, Marti, Reyes, Rossvern
Format: text
Language:English
Published: Animo Repository 2008
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/17478
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Institution: De La Salle University
Language: English
id oai:animorepository.dlsu.edu.ph:etd_bachelors-17991
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spelling oai:animorepository.dlsu.edu.ph:etd_bachelors-179912022-02-07T01:10:02Z The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007 De la Vega, Marti Reyes, Rossvern This study aimed to determine if changes in key policy interest rates and growth of money aggregates have asymmetric effects on stock returns during bear and bull markets using Markov Switching models. Evidence from the stock market index from 2003 to 2007 for the financial sector in the PSE showed that stock returns respond asymmetrically; a contractionary monetary policy would increase stock returns in a bull market but would decrease stock returns in a bear market. This empirical finding might be different from the conventional negative relationship between interest rates and stock returns, but this can be attributed to the "uniqueness" of financial institutions. Furthermore, the Markov Switching models showed that an increase in interest rates would increase regime switching probabilities and would decrease the persistency of bull and bear markets. 2008-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_bachelors/17478 Bachelor's Theses English Animo Repository Stocks--Philippines Money supply--Philippines Rate of return--Philippines Interest rates--Effect of inflation on--Philippines
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stocks--Philippines
Money supply--Philippines
Rate of return--Philippines
Interest rates--Effect of inflation on--Philippines
spellingShingle Stocks--Philippines
Money supply--Philippines
Rate of return--Philippines
Interest rates--Effect of inflation on--Philippines
De la Vega, Marti
Reyes, Rossvern
The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007
description This study aimed to determine if changes in key policy interest rates and growth of money aggregates have asymmetric effects on stock returns during bear and bull markets using Markov Switching models. Evidence from the stock market index from 2003 to 2007 for the financial sector in the PSE showed that stock returns respond asymmetrically; a contractionary monetary policy would increase stock returns in a bull market but would decrease stock returns in a bear market. This empirical finding might be different from the conventional negative relationship between interest rates and stock returns, but this can be attributed to the "uniqueness" of financial institutions. Furthermore, the Markov Switching models showed that an increase in interest rates would increase regime switching probabilities and would decrease the persistency of bull and bear markets.
format text
author De la Vega, Marti
Reyes, Rossvern
author_facet De la Vega, Marti
Reyes, Rossvern
author_sort De la Vega, Marti
title The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007
title_short The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007
title_full The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007
title_fullStr The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007
title_full_unstemmed The asymmetric response of stock returns to changes in money supply and key policy interest rates: Evidence from the Philippine financial sector stock index for the period of 2003-2007
title_sort asymmetric response of stock returns to changes in money supply and key policy interest rates: evidence from the philippine financial sector stock index for the period of 2003-2007
publisher Animo Repository
publishDate 2008
url https://animorepository.dlsu.edu.ph/etd_bachelors/17478
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