Investor reaction to unexpected political and economic events in the Philippine stock market from the years 2000-2008
This study examines investor reaction to major unexpected political and economic events that were initially publicly disseminated in the Philippine stock market from years 2000-2008. Applying an event study, evidences of overreaction hypotheis (OH) or uncertain information hypothesis (UIH) is tested...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2009
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9017 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | This study examines investor reaction to major unexpected political and economic events that were initially publicly disseminated in the Philippine stock market from years 2000-2008. Applying an event study, evidences of overreaction hypotheis (OH) or uncertain information hypothesis (UIH) is tested using the daily closing prices of Philippine Stock Exchange all shares index (PSE-all shares) and the Philippine Stock Exchange index (PSEi). However, contrary to find evidences of characteristics of OH or UIH in the country's equities market, the researchers only found overreaction to favorable events, as evidenced by significant price reversals following the arrival of positive news. Meanwhile underreaction is seen with announcement of negative news, as stock prices immediately drop then take a brief recovery, but afterwards fall even further. Thus neither OH, nor UH exists in the Philippine stock market, but rather only presents strong signs of overreaction and underreaction, as supported by the daily indices return. |
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