The dynamic impact of gross domestic product (GDP), PSE Index (PSEI), market volatility, market liquidity, and reverse repurchase rate (RRP) on initial public offerings: Evidence from time series analysis

• Main Authors: Goh, Patricia Ann R., Ma, Lynford Y., Ongkinglok, Diorissa C., Yang, Vernice C.
• 格式: text
• 語言: English
• 出版: Animo Repository 2016
• 主題: Going public (Securities) > Philippines; Finance and Financial Management
• 在線閱讀: https://animorepository.dlsu.edu.ph/etd_bachelors/7863
• 機構: De La Salle University

Initial public offerings (IPOs) play a significant role in classifying a country's economic status. It can serve as a form of measurement which will help the general public know about the economic performance of the country. As the economic performance of the Philippines grows stronger, more and more companies have decided to go public. Today, there are very few studies available regarding IPO activities and how its performance is determined by certain macroeconomic factors. This study broadens the understanding of readers on IPO activities and its role in evaluating an economy's performance with the use of time-series analysis. It focuses on the factors, gross domestic product (GDP), PSE Index (PSEi), market volatility, market liquidity, and reverse repurchase rate (RRP) in assessing the impact and causality of the variables on IPO activities of listing companies in the Philippines from years 2000 to 2015. Later in the study, industrial production (IP) was used to substitute for GDP due to its cyclical sensitivity and monthly availability. This study used the correlation analysis and ordinary least square regression model to determine the relationship between the variables. The granger causality was also used to determine whether the independent variables have any causality with the IPO activities. Lastly, the VEC model was used to determine the forecasting capabilities of the independent factors. It was found that IP, PSEi, and RRP have a significant relationship on IPO activities then the factors that showed causality are the IP, market volatility, and PSEi. On the other hand, results from forecasting statistics showed that all factors have weak forecasting capabilities in determining future IPO activities which may have been caused by weak data points. The results obtained imply that the factors which shown to have significant impact and relationship on IPO activities can better determine and explain the movements of the IPO activities. Meanwhile, results from forecasting imply that the shocks incorporated from prior tests may have disrupted the VEC model. The shocks were centralized to very few data points which caused greater pressure to the variables.