An application of the chaos theory in the Philippine stock market using 5 stocks with the highest market capitalization and 5 stocks with the lowest market capitalization that are listed in the 1997 composite index for the period January 1997 to March 2001: A rescaled range analysis

• Main Authors: Cabrera, Ma. Cristina O., Catanag, Rosanna Marie C., Flores, Rosalyn B., Yap, Eleanor Anne T.
• Format: text
• Language: English
• Published: Animo Repository 2001
• Subjects: Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_honors/160
• Institution: De La Salle University

This paper entitled, An application of the chaos theory in the Philippine Stock Market using 5 stocks with the Highest Market Capitalization and 5 stocks with the Lowest Market Capitalization that are listed in the 1997 Composite Index for the period January 1997 to March 2001: A Rescaled Range Analysis, is a study that seeks the answers to two questions. First is the question about whether or not stock market prices show signs of chaotic behavior. Next is the question of whether or not the selected stocks exhibit a cycle. The design of the research is descriptive-comparative in nature. Thus, the question of causality, or even association, is not within the purview of this paper. The study utilized ten samples found in the 1997 composite Index, stratified into the 5 firms with the largest market capitalization and also into the 5 firms with the smallest market capitalization. Probabilistic or stochastic values were also generated in order to be able to express and/or describe/characterize the observations for each group in terms of one number. In addition, there was even a stochastic vlaue that was generated for the group of the entire ten samples. To achieve this, the use of weights became necessary. Market capitalization became the basis for the weights. Thus, individual market capitalization was prorated in decimal form to generate the stochastic weight for individual firms. Finally, the total weight for each grouped set of firms was made to total 1,00000. Four hypotheses sets were used, so four sets of findings were necessary. The first set of findings showed evidence that the data was not random. The second set of findings showed that the data was ergodic, not persistent, using the Hurst exponent. The third set of findings did not yield sufficient evidence to establish the existence of periodically at the graphical dimension, even as the V-Statistics was computed.