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...