Regime-switching in the volatility of the Philippine stock market

• Main Author: Almonares, Ray Anthony L.
• Format: text
• Published: Animo Repository 2024
• Subjects: Stocks—Philippines—Rate of return; Stock exchanges > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/12103
• Institution: De La Salle University

A Markov-switching model was used on monthly returns of the Philippine stock exchange, based on data from January 3, 2000 to July 31, 2017 to estimate the regime-switching behavior of the stock market's volatility. The study identified high-volatility periods of the stock market and linked them to political and economic events. Results showed that the Philippine stock market reacted to domestic political issues that changed or challenged the country's leadership. Economic events such as the Asian Financial Crisis, the country's local currency crisis, and the Global Financial Crisis also contributed to the high-volatility state of the local bourse.