Will it matter?: An empirical analysis on how the period of presidential elections affect the stock market and the value of currency in the Philippines

• Main Authors: Castaños, Timothy Neal D., Peregrino, Marc Daniel D.
• Format: text
• Language: English
• Published: Animo Repository 2017
• Subjects: Stock exchanges and current events > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/14938
• Institution: De La Salle University

The research objective is to answer the question: "How did the Philippine presidential elections from the year 1997-2016 affect the relationship of the Philippine Stock Market index and the Philippine peso against the U.S dollar?" To empirically answer the question, the proponents used vector autoregression with the Granger causality test for the major statistical analysis. Daily data was used specifically for every weekday from 1997-2016 for the reason of needing to have parallel data from the PSEi and USD/PHP variables. The outcome of the study suggests that for the given time period, the presidential elections did not have a significant effect on the relationship of the PSEi and USD/PHP values for 3 months before and after, and 6 months before and after. Lastly, the results showed that there was indeed a Granger causality from USD/PHP values to the PSEi across the whole period of the study, with USD/PHP leading PSEi.