Granger causality between stock market and selected macroeconomic indicators: Evidence from the Philippines

• Main Authors: Bardullas, Kenneth Richard O., Co, Vinzze Joseph T., Leung, Aaron Henric P., Tadeo, Alyzza Ariane J.
• Format: text
• Language: English
• Published: Animo Repository 2023
• Subjects: Stock exchanges—Philippines; Economic indicators—Philippines; Finance
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/57
• Institution: De La Salle University

This study utilizes the Toda-Yamamoto (1995) method to evaluate the Granger causality between the Stock Market index and a few macroeconomic indices. The Philippine Stock Exchange index (PSEi), which represents the stock market, is the subject of this study, which focuses on monthly data from Januar...