The quantile relationship of Philippine equities and foreign exchange rates

• Main Author: Manalang, Veronica S.
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Stocks > Philippines; Foreign exchange rates > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/2690
• Institution: De La Salle University

This paper aims to establish the link between the stock market and foreign exchange market of the Philippines. To fulfill such, the study establishes direction of causality and applied the Quantile Regression model to observe the daily returns of the Philippine Stock Exchange Index and Foreign Exchange rates of the country's top six trading partners from January 2012 to December 2015. The results show that the Philippines exhibits the International Trade Oriented Model where movements in exchange rate returns cause the movements in stock returns. Being an Import-Oriented country, the appreciation of the Philippine Peso results in an instantaneous increase in the returns of the stock market. This effect considerably decreases in magnitude throughout the high performances in the Philippine Stock Market.