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The Relationship Between Philippine Interest Rates and Stock Price Movements

Author

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  • Rizalito L. Gregorio

    (Assistant Professor, College of Business Administration, University of the Philippines Diliman)

Abstract

For fund managers who are allowed asset-allocation choices between stocks and bonds, the relationship between these two assets is a matter of great concern. Since the interest rate is sometimes used as a key decision variable—and in a few cases as the sole decision variable—in the decision to shift between bonds and equities, the present study uses a bivariate approach in its analysis. Using the Box-Jenkins technique, the study found no significant relationship between 91-day interest rates and the Composite and Sectoral indices of the Makati Stock Exchange using data from January 1987 up to August 1993.

Suggested Citation

  • Rizalito L. Gregorio, 1994. "The Relationship Between Philippine Interest Rates and Stock Price Movements," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 31(1), pages 32-52, June.
    • Handle: RePEc:phs:prejrn:v:31:y:1994:i:1:p:32-52
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    File URL: http://pre.econ.upd.edu.ph/index.php/pre/article/view/128/470
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    Cited by:

    1. Pooja Joshi & Arun Kumar Giri, 2015. "Fiscal Deficits and Stock Prices in India: Empirical Evidence," IJFS, MDPI, vol. 3(3), pages 1-18, August.

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