Examining the relationship between the equities and government securities in the Philippine market from 2009 to 2015: A vector autoregression and granger causality test approach

• Main Authors: Dy, Anne Janelle, Ng, Hillary Alexis, Novicio, Claude Nicole, Oba, Alessandra Danielle
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Government securities Philippines; Stocks > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/7870
• Institution: De La Salle University

This study determines the liquidity relationship between the equities and government securities market from 2009 to 2015 through variables liquidity, return and volatility incorporated in the vector autoregressive model and granger causality test. Significant relationships are found between the variables with stock returns and illiquidity being significantly negative stock volatility and illiquidity significantly positive and bond returns and short term government securities significantly positive. On the other hand, there is no lead-lag and bidirectional Granger causality relationship between stock and government securities illiquidity which does not show evidence of the fight to quality and liquidity phenomena in the Philippine setting. The results show evidence of the return and volatility relationship with liquidity, and the liquidity dynamics that exist between the Philippine stock and government securities markets.