Behavioral finance and market efficiency: The responsiveness of the Philippine market during the COVID-19 pandemic

• Main Authors: Alano, Greisa Eguia, Nuguid, Arhen Richmond Payumo, Rojas, Kenneth Gabriel Sanvictores
• Format: text
• Language: English
• Published: Animo Repository 2023
• Subjects: Stock exchanges—Philippines; COVID-19 Pandemic, 2020- —Philippines—Influence
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/65; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1082/viewcontent/Behavioral_Finance_and_Market_Efficiency__The_Responsiveness_of_t.pdf
• Institution: De La Salle University

This study explores the adherence of the Philippine stock market towards the Efficient Market Hypothesis (EMH) and Behavioral Finance during the COVID-19 pandemic. The returns of the Philippine Stock Exchange Index (PSEi) and the MSCI Philippines IMI 25/50 (MSCI) during the identified sub-periods were studied to understand the impact of released COVID-19 information to both indices. Using a GARCH model incorporating COVID-19 and technical indicators, it was found that the market adhered to market efficiency specifications in reflecting newly released pandemic information. The market was also found to be irrational during the second and third sub-periods, while it was rational during the first sub-period. Lastly, in the Philippine context, the Coronavirus Fear Index (CFI) was found to be a useful tool for measuring price volatility during the identified sub-periods.