A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis

This paper entitled A Study of Persistence in the Philippine Stock Market for the Period 2011-2015: A Rescaled Range Analysis is a study that seeks to determine if persistence, randomness or mean reversion is evident in the Philippines through the utilization of a potent tool known as rescaled range...

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Main Authors: Apostol, Wency Gail, Dela Cruz, Martella Ayra B., Perez, David Paulo F., Sandoval, Juan Paolo S.
Format: text
Language:English
Published: Animo Repository 2016
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Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/8992
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Institution: De La Salle University
Language: English
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spelling oai:animorepository.dlsu.edu.ph:etd_bachelors-96372021-08-18T07:32:24Z A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis Apostol, Wency Gail Dela Cruz, Martella Ayra B. Perez, David Paulo F. Sandoval, Juan Paolo S. This paper entitled A Study of Persistence in the Philippine Stock Market for the Period 2011-2015: A Rescaled Range Analysis is a study that seeks to determine if persistence, randomness or mean reversion is evident in the Philippines through the utilization of a potent tool known as rescaled range analysis in support of the concept of chaos theory. The design of the research is descriptive-comparative. Furthermore, questions of causality are not within the purview of this paper. The study utilized three levels: the stock level comprising of the stock returns of the top ten stocks with the highest market capitalization taken from the 2015 Philippine composite index, the stock returns of the six sectors present in the Philippine stock market, and the daily stock returns of the Philippine stock exchange index as a whole. The results showed that nine companies in the top ten stocks of 2015, all of the six sectors, and the index derived H values greater than 0.5, indicating that the Philippine stock market does show evidence of persistence and strengthening the application chaos theory in the market. However, the derived Hurst exponents are not significantly greater than 0.5, thereby suggesting a trend reinforcing series. Furthermore, the study indicates that even if the Philippine stock market shows persistence and is not random, it cannot be accurately predicted. In conclusion, the Philippine Stock Market is still considered an inefficient market despite the evidence of persistence. 2016-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_bachelors/8992 Bachelor's Theses English Animo Repository Stock exchanges--Philippines Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stock exchanges--Philippines
Finance and Financial Management
spellingShingle Stock exchanges--Philippines
Finance and Financial Management
Apostol, Wency Gail
Dela Cruz, Martella Ayra B.
Perez, David Paulo F.
Sandoval, Juan Paolo S.
A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis
description This paper entitled A Study of Persistence in the Philippine Stock Market for the Period 2011-2015: A Rescaled Range Analysis is a study that seeks to determine if persistence, randomness or mean reversion is evident in the Philippines through the utilization of a potent tool known as rescaled range analysis in support of the concept of chaos theory. The design of the research is descriptive-comparative. Furthermore, questions of causality are not within the purview of this paper. The study utilized three levels: the stock level comprising of the stock returns of the top ten stocks with the highest market capitalization taken from the 2015 Philippine composite index, the stock returns of the six sectors present in the Philippine stock market, and the daily stock returns of the Philippine stock exchange index as a whole. The results showed that nine companies in the top ten stocks of 2015, all of the six sectors, and the index derived H values greater than 0.5, indicating that the Philippine stock market does show evidence of persistence and strengthening the application chaos theory in the market. However, the derived Hurst exponents are not significantly greater than 0.5, thereby suggesting a trend reinforcing series. Furthermore, the study indicates that even if the Philippine stock market shows persistence and is not random, it cannot be accurately predicted. In conclusion, the Philippine Stock Market is still considered an inefficient market despite the evidence of persistence.
format text
author Apostol, Wency Gail
Dela Cruz, Martella Ayra B.
Perez, David Paulo F.
Sandoval, Juan Paolo S.
author_facet Apostol, Wency Gail
Dela Cruz, Martella Ayra B.
Perez, David Paulo F.
Sandoval, Juan Paolo S.
author_sort Apostol, Wency Gail
title A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis
title_short A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis
title_full A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis
title_fullStr A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis
title_full_unstemmed A study of persistence in the Philippine stock market for the period 2011-2015: A rescaled range analysis
title_sort study of persistence in the philippine stock market for the period 2011-2015: a rescaled range analysis
publisher Animo Repository
publishDate 2016
url https://animorepository.dlsu.edu.ph/etd_bachelors/8992
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