Analysis of the effects of macroeconomic variables on sector stock returns in the Philippine setting from 1998-2008: Evidence from the publicly listed companies

• Main Authors: Buencamino, Brendon, Galvez, Angelica, Gonzalez, Patrick, Poco, Anna Maria
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Petroleum products > Prices > Philippines; Stocks > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18515
• Institution: De La Salle University

The present study intends to analyze the effect of crude oil prices on the Philippines industry stock returns. The price of crude oil, both in the international and national market, is extremely volatile therefore, evaluating oil as a pricing factor in asset pricing model is highly essential. This research will answer the question What are the risk factors that influence the industry stock returns in the Philippine Stock Exchange for the period 1998 to 2008? In the methodology, multifactor static dynamic models take into consideration crude oil and other macroeconomic factors as drivers for the industry surplus returns. Market portfolio, oil prices, exchange rates and the term premium are the macroeconomic factors and the public companies listed in the stock exchange. taking into consideration the following industries, namely banking, diversified financials, energy, insurance, media, property rusts, materials, retailing and transportation. Studies have been conducted and these provided verification that oil prices form a source of systematic asset price risk and that effect differs among industries. On the other hand, no research has been done in the Philippine setting.