Applying the gaining from a loss concept: Investigating the positive effects of storms and flood on the returns of the six sectors of the Philippine Stock Exchange
The study being conducted investigates the relationship between stock market returns per sector and the storms and floods that affected the Philippines from 2007 to 2012. Storms and floods are accounted for in the study as the number of occurrences for each week, whereas the stock market returns are...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2013
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/18470 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | The study being conducted investigates the relationship between stock market returns per sector and the storms and floods that affected the Philippines from 2007 to 2012. Storms and floods are accounted for in the study as the number of occurrences for each week, whereas the stock market returns are divided per sector in order to better understand which sectors are most affected by storms and floods. The researchers hypothesize that storms and floods will have a positive effect on stock market returns, thus following the gaining from a loss concept. In order to achieve the objective of this study, the impact of the storms and floods to the different sector indices is estimated using the generalized autoregressive conditional heterokedasticity (GARCH) model. The results show that there is a direct relationship between the stock returns of the different sectors and the storms and floods, however, the storms and floods are only significant for two sectors, the property and holding sectors. |
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