Does Philippine peso exchange rate influence the volatility of the Philippine stock exchange index? A Granger causality analysis
The paper analyzes the sensitivity of the overall movement of the Philippine Stock Exchange Index (PSEi) to the volatility of Philippine Peso. Monthly data of the Philippine Peso exchange rate and the PSEi price over the period 2005-2014 have been used for the study. The Augmented Dickey Fuller (ADF...
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Main Author: | Romero, Frederick P. |
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Format: | text |
Published: |
Animo Repository
2016
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Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/3934 |
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Institution: | De La Salle University |
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