An empirical investigation of the causal relationship among monetary variables with equity market returns in the Philippine setting

• Main Authors: Cheong, Oliver, Cancio, Julio Ricardo, Cobankiat, Charmaine, Galang, Candice
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Treasury bills > Philippines; Interest rates > Philippines; Foreign exchange rates > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18524
• Institution: De La Salle University

This study explores the long-term dynamic relationship between equity market returns and monetary variables from an observable period of ten years (1999-2008) in the Philippines. Monetary variables include money supply as measured by M1 money, treasury bill rates as a proxy for interest rates, foreign exchange rates and the inflation rate. The sample base to check the causality will be the thirty firms of the Philippine Stock Exchange index. The data has been examined using Granger causality analysis. Finally, based on the resulting causality test, further analysis and a predictive model will be created to explore the practical application of the subject matter.