Influence of selected local and foreign macroeconomic events on the stock market: Empirical evidence from the Philippine stock market
The country today has a stock market that is, in terms of stock market returns, affected by overall macroeconomic activities driven by various sectors of the ecnomy. In line with this, this research investigates long run relationships between stock market returns and key macroeconomic variables in t...
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| Main Authors: | , , , |
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| 格式: | text |
| 語言: | English |
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Animo Repository
2014
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| 主題: | |
| 在線閱讀: | https://animorepository.dlsu.edu.ph/etd_bachelors/9015 |
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| 機構: | De La Salle University |
| 語言: | English |
| 總結: | The country today has a stock market that is, in terms of stock market returns, affected by overall macroeconomic activities driven by various sectors of the ecnomy. In line with this, this research investigates long run relationships between stock market returns and key macroeconomic variables in the Philippine economy. Since it was hit hardly during the 1997 Asian financial crisis and was affected by several important economic and political events. Policymakers believe that the Philippine economy is vulnerable to capital flight in response to foreign source books shocks just like any emerging market. Understanding the impact of domestic and foreign source shocks on the Philippine stock market is important for prudent management of the Philippine's macroeconomy. This paper examines both short- and long-run relationships between domestic and foreign source shocks to the Philippine stock market index (PSEi). The VECM results show that all the variables have an effect on PSEi in the short run except for the exchange rate and the IRF shows that the movements in the macroeconomic variables and in the foreign stock market affects the PSEi for the suceeding periods even after the movement. |
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