Measuring asymmetric volatility and stock returns in the Philippine stock market

• Main Authors: Hofileña, Daniel S., Tomaliwan, Maria Francesca D.
• Format: text
• Published: Animo Repository 2014
• Subjects: Stock exchanges—Philippines; Economics—Statistical methods; Econometrics; Economics; Finance; Social and Behavioral Sciences
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/12446
• Institution: De La Salle University

This paper aims to study the relationship between expected stock market returns and conditional volatility in the Philippine stock market index (PSEi). It also aims to investigate the presence of asymmetric effects of good and bad news on conditional volatility. The paper also aims to put to the tes...