Analyzing the causal effects of the major ASEAN-4 countries exchange rates against the Philippine peso on the volatility of the Philippine stock market returns

• Main Authors: Chua, Richmond Ryan S., Shi, Yung Ching S., Tang, Willy W., Wu, Rico J.
• Format: text
• Language: English
• Published: Animo Repository 2023
• Subjects: Stock exchanges—Southeast Asia; Stock exchanges—Philippines; Stocks—Philippines—Rate of return; Finance
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/76; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1070/viewcontent/Analyzing_the_Causal_Effects_of_the_Major_ASEAN_4_Countries_Excha.pdf
• Institution: De La Salle University

The objective of the paper is to analyze the causal effect between the exchange rate of ASEAN-4 countries relative to the Philippine Peso and the daily returns of the Philippine stock market, with a focus on the structural break from Pre-COVID and COVID. The study investigates the impact of global t...