Philippine financial institutions' counterparty default risk and stock price relationships: An analysis

The objective of this study is to analyze the relationships and influence between default risk and the share prices of the selected Philippine Financial Institutions. The selected Philippine Financial Institutions are: Bank of the Philippine Islands, Banco de Oro Unibank, Metropolitan Bank and Trust...

Full description

Saved in:
Bibliographic Details
Main Authors: Amano, Gerard Constantine, Gomez, Juwan Kenzie, Juan, Gilbert Angelo, Pioquinto, Jan Michael
Format: text
Published: Animo Repository 2022
Subjects:
Online Access:https://animorepository.dlsu.edu.ph/etdb_finman/34
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1030/viewcontent/Philippine_Financial_Institutions_Counterparty_Default_Risk_and2.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: De La Salle University
id oai:animorepository.dlsu.edu.ph:etdb_finman-1030
record_format eprints
spelling oai:animorepository.dlsu.edu.ph:etdb_finman-10302022-07-20T07:49:24Z Philippine financial institutions' counterparty default risk and stock price relationships: An analysis Amano, Gerard Constantine Gomez, Juwan Kenzie Juan, Gilbert Angelo Pioquinto, Jan Michael The objective of this study is to analyze the relationships and influence between default risk and the share prices of the selected Philippine Financial Institutions. The selected Philippine Financial Institutions are: Bank of the Philippine Islands, Banco de Oro Unibank, Metropolitan Bank and Trust Company, China Banking Corporation, and Philippine National Bank. Default risk is represented by the following default risk measures: Non-Performing Loans Ratio, Capital Adequacy Ratio, General Loan Loss Provision, and Allowance for Credit Losses. The researchers gathered quarterly data on the selected default risk measures and the stock prices of the selected Philippine Financial Institutions for the time period of 2015 to 2020. The study utilized a quantitative research design and conducted Pearson correlation tests and Multiple Linear regression tests to determine the relationship between default risk and share prices and the influence of default risk on the share prices of the selected Philippine Financial Institutions. The findings of the study show that two (2) out of the four (4) default risk measures exhibited significant relationships with the share prices which are Non-Performing Loans Ratio (NPL) and Allowance for Credit Losses (ACL). The panel regression analysis found both the NPL ratio and ACL have a significant influence on the 95% confidence level with the final model using the Feasible Generalized Least Squares model for panel data. 2022-07-07T07:00:00Z text application/pdf https://animorepository.dlsu.edu.ph/etdb_finman/34 https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1030/viewcontent/Philippine_Financial_Institutions_Counterparty_Default_Risk_and2.pdf Financial Management Bachelor's Theses Animo Repository Financial risk management—Philippines Stocks—Prices—Philippines Financial institutions—Philippines Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
topic Financial risk management—Philippines
Stocks—Prices—Philippines
Financial institutions—Philippines
Finance and Financial Management
spellingShingle Financial risk management—Philippines
Stocks—Prices—Philippines
Financial institutions—Philippines
Finance and Financial Management
Amano, Gerard Constantine
Gomez, Juwan Kenzie
Juan, Gilbert Angelo
Pioquinto, Jan Michael
Philippine financial institutions' counterparty default risk and stock price relationships: An analysis
description The objective of this study is to analyze the relationships and influence between default risk and the share prices of the selected Philippine Financial Institutions. The selected Philippine Financial Institutions are: Bank of the Philippine Islands, Banco de Oro Unibank, Metropolitan Bank and Trust Company, China Banking Corporation, and Philippine National Bank. Default risk is represented by the following default risk measures: Non-Performing Loans Ratio, Capital Adequacy Ratio, General Loan Loss Provision, and Allowance for Credit Losses. The researchers gathered quarterly data on the selected default risk measures and the stock prices of the selected Philippine Financial Institutions for the time period of 2015 to 2020. The study utilized a quantitative research design and conducted Pearson correlation tests and Multiple Linear regression tests to determine the relationship between default risk and share prices and the influence of default risk on the share prices of the selected Philippine Financial Institutions. The findings of the study show that two (2) out of the four (4) default risk measures exhibited significant relationships with the share prices which are Non-Performing Loans Ratio (NPL) and Allowance for Credit Losses (ACL). The panel regression analysis found both the NPL ratio and ACL have a significant influence on the 95% confidence level with the final model using the Feasible Generalized Least Squares model for panel data.
format text
author Amano, Gerard Constantine
Gomez, Juwan Kenzie
Juan, Gilbert Angelo
Pioquinto, Jan Michael
author_facet Amano, Gerard Constantine
Gomez, Juwan Kenzie
Juan, Gilbert Angelo
Pioquinto, Jan Michael
author_sort Amano, Gerard Constantine
title Philippine financial institutions' counterparty default risk and stock price relationships: An analysis
title_short Philippine financial institutions' counterparty default risk and stock price relationships: An analysis
title_full Philippine financial institutions' counterparty default risk and stock price relationships: An analysis
title_fullStr Philippine financial institutions' counterparty default risk and stock price relationships: An analysis
title_full_unstemmed Philippine financial institutions' counterparty default risk and stock price relationships: An analysis
title_sort philippine financial institutions' counterparty default risk and stock price relationships: an analysis
publisher Animo Repository
publishDate 2022
url https://animorepository.dlsu.edu.ph/etdb_finman/34
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1030/viewcontent/Philippine_Financial_Institutions_Counterparty_Default_Risk_and2.pdf
_version_ 1767196501683994624