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 vari...