Modeling interest rate volatility and stock return volatility: The case of the publicly listed banks in the Philippines

• Main Authors: Centeno, Mary Catherine M., Zialcita, Kathleen Marie P.
• Format: text
• Language: English
• Published: Animo Repository 2010
• Subjects: Interest rates > Philippines; Banks and banking > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18536
• Institution: De La Salle University

Unanticipated changes and volatilities in interest rate can significantly affect firms. This study investigates if unanticipated changes and volatilities of the 1-month, 3-month, 6-month, and 1-year treasury bill yield from March 19, 2007 to March 1, 2010 affect the daily common stock return of seve...