A study on the presence of random walk in the Philippine stock market from the years 2000-2005

• Main Authors: Chua, Kenneth U., Ngo, Scott Chester K., Timbalopez, Judie Ann D.
• Format: text
• Language: English
• Published: Animo Repository 2006
• Subjects: Stock exchanges > Philippines; Stocks > Philippines; Investments > Philippines; Random walks (Mathematics); Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/9021
• Institution: De La Salle University

The study is about determining the existence or nonexistence of Random Walk in the Philippine Stock Market. The data will be used is the Philippine Stock Composite Index (PSEi). It will be subjected to the Dickey-Fuller statistic test and the Hurst Exponent of the data will be determined. The Dickey...