Information arrival, trading and volatility of Philippine stock returns

• Main Author: Calderon, Leila Y.
• Format: text
• Language: English
• Published: Animo Repository 2001
• Subjects: Stocks; Block trading; Stock-exchange; Business Administration, Management, and Operations
• Online Access: https://animorepository.dlsu.edu.ph/etd_doctoral/1160
• Institution: De La Salle University

This study determines the effects of information arrival (as proxied by volume) or trading (as proxied by returns) on Philippine stock return. The sample included ten (10) randomly selected PHISIX constituent issues and the PHISIX covering the period April 4, 1994 to March 31, 1999. The study used both the historical and implied volatility to estimate the forecast volatility. However, both methods assumed that volatility is stationary, which was not the case as empirically evidenced. In this study, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) and Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) (1,1) were used to estimate and forecast the time-varying volatility.The study found out that return variances during trading period is greater than return variances during nontrading period for all index stocks except Philex Mining. Likewise, this study found out that the stock return volatility for all the index stocks exhibited the following: 1) leptokurtic 2) skewness and 3) volatility clustering in all the recompositions of the PHISIX. Also, this study presented an alternative model to the mean-variance analysis used by investors. The model includes the four moments, mean, standard deviation, skewness, and kurtosis for stock evaluation.