A study on stock return variance during trading and non-trading periods of the thirty most actively traded stocks for the years 2007-2011 using GARCH

• Main Authors: Coronado, Porzia Evol, Inocencio, Marinell Elise, Jalbuena, Jose Juan, Ramos, Ralph Christian
• Format: text
• Language: English
• Published: Animo Repository 2012
• Subjects: Stocks > Philippines; Stock exchanges > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18518
• Institution: De La Salle University

This study determines which period (the trading or the non-trading period) in the Philippine Stock Exchange is more volatile than the other. The sample used is, the thirty (30) most actively traded stocks in the Philippine Stock Exchange, covering the period, January 2, 2007 to December 29, 2011. In this study, the general autoregressive conditional heteroskedasticity (1, 1) model, and multiplicative general autoregressive conditional heteroskedasticity (1, 1) model were used to estimate the conditional variances of the trading and the non-trading period. This study included two variables to represent information arrival (as proxied by volume) and trading noise (proxied by lagged intra-day volatility). A simulation of stocks that accounts for transaction costs was also done, in order to provide a clear example to the readers, in determining which period has more favorable returns. Overall, the trading period is found to be more volatile than the non-trading period, but, interestingly, the returns during the non-trading period appear to be more favorable than those of the trading period. It was also shown how transaction costs, do, have an effect on returns. Furthermore, the study also determined that information arrival, and trading noise have significant effects on the variances during the trading period.