IDEAS home Printed from https://ideas.repec.org/a/phs/prejrn/v50y2013i1p57-82.html
   My bibliography  Save this article

Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization

Author

Listed:
  • Cesar Rufino

    (School of Economics, De Lasalle University-Manila)

Abstract

This study explores the weak-form efficiency of the Philippine Stock Exchange (PSE) and its different sectoral markets using modern inference techniques with robust statistical properties. The research is motivated by the lack of consensus in the literature on the informational efficiency of the countryÕs stock market and the apparent scarcity of studies on the same issue using data covering the period of massive modernization of the exchange, geared toward transparent disclosures and integrity of transactions. The study may also be considered a fitting assessment of why the PSE is setting the pace over most stock exchanges in Asia in terms of growth levels across key stock market indicators, culminating in a highly successful year 2012 when it ranked ninth among the ten best-performing stock markets of the world. Evidence presented by the results of the study suggests the presence of overall informational efficiency in the Philippine Stock Exchange during the period under review. Classification-C14, G14, G15

Suggested Citation

  • Cesar Rufino, 2013. "Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 50(1), pages 57-82, June.
    • Handle: RePEc:phs:prejrn:v:50:y:2013:i:1:p:57-82
    as

    Download full text from publisher

    File URL: http://pre.econ.upd.edu.ph/index.php/pre/article/view/891/791
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Graham Smith & Keith Jefferis & Hyun-Jung Ryoo, 2002. "African stock markets: multiple variance ratio tests of random walks," Applied Financial Economics, Taylor & Francis Journals, vol. 12(7), pages 475-484.
    2. J. Carlos Escanciano & Ignacio N. Lobato, 2009. "Testing the Martingale Hypothesis," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 20, pages 972-1003, Palgrave Macmillan.
    3. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    4. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2011. "Small sample properties of alternative tests for martingale difference hypothesis," Economics Letters, Elsevier, vol. 110(2), pages 151-154, February.
    5. Maddala, G S & Wu, Shaowen, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
    6. Liu, Christina Y & He, Jia, 1991. "A Variance-Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance, American Finance Association, vol. 46(2), pages 773-785, June.
    7. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    8. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
    9. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
    10. Darrat, Ali F & Zhong, Maosen, 2000. "On Testing the Random-Walk Hypothesis: A Model-Comparison Approach," The Financial Review, Eastern Finance Association, vol. 35(3), pages 105-124, August.
    11. Hiroyuki Kawakatsu & Matthew R. Morey, 1999. "An Empirical Examination Of Financial Liberalization And The Efficiency Of Emerging Market Stock Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 385-411, December.
    12. Wu, Jyh-Lin & Chen, Show-Lin, 1999. "Are Real Exchange Rates Stationary Based on Panel Unit-Root Tests? Evidence from Pacific Basin Countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(3), pages 243-252, July.
    13. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
    14. G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
    15. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. William Sucuahi & Eugene Bije, 2020. "Modeling Long-Term Relationships in Philippine Stock Market (PSE) Indices: A Cointegration Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(9), pages 989-998, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Azad, A.S.M. Sohel, 2009. "Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data," Research in International Business and Finance, Elsevier, vol. 23(3), pages 322-338, September.
    2. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
    3. Abullah M. Noman & Minhaz U. Ahmed, 2008. "Efficiency of the foreign exchange markets in South Asian Countries," AIUB Bus Econ Working Paper Series AIUB-BUS-ECON-2008-18, American International University-Bangladesh (AIUB), Office of Research and Publications (ORP), revised Jun 2008.
    4. Olimpia Neagu, 2019. "The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach," Sustainability, MDPI, vol. 11(17), pages 1-27, August.
    5. Guneratne B Wickremasinghe & Jae H Kim, 2008. "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 169-196, August.
    6. Guduza, Sinazo & Phiri, Andrew, 2017. "Efficient Market Hypothesis: Evidence from the JSE equity and bond markets," MPRA Paper 83487, University Library of Munich, Germany.
    7. Graham Smith & Aneta Dyakova, 2014. "African Stock Markets: Efficiency and Relative Predictability," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 258-275, June.
    8. Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
    9. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
    10. Raihan, Selim & Abdullah, S M & Barkat, Aroni & Siddiqua, Salina, 2017. "Mean Reversion of the Real Exchange Rate and the validity of PPP Hypothesis in the context of Bangladesh: A Holistic Approach," MPRA Paper 77172, University Library of Munich, Germany.
    11. Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.
    12. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    13. Lee, Chien-Chiang & Lee, Jun-De & Lee, Chi-Chuan, 2010. "Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks," Japan and the World Economy, Elsevier, vol. 22(1), pages 49-58, January.
    14. Durusu-Ciftci, Dilek & Ispir, M. Serdar & Kok, Dundar, 2019. "Do stock markets follow a random walk? New evidence for an old question," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 165-175.
    15. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
    16. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    17. Peter Farkas & Laszlo Matyas, 2015. "Testing for Unit Roots in Panel Data with Boundary Crossing Counts," CEU Working Papers 2015_5, Department of Economics, Central European University, revised 03 Nov 2015.
    18. Afees A. Salisu & Taofeek O. Ayinde, 2016. "Testing the Martingale Difference Hypothesis (MDH) with Structural Breaks: Evidence from Foreign Exchanges of Nigeria and South Africa," Journal of African Business, Taylor & Francis Journals, vol. 17(3), pages 342-359, September.
    19. Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
    20. Bilal Mehmood & Syed Hassan Raza & Mahwish Rana & Huma Sohaib & Muhammad Azhar Khan, 2014. "Triangular Relationship between Energy Consumption, Price Index and National Income in Asian Countries: A Pooled Mean Group Approach in Presence of Structural Breaks," International Journal of Energy Economics and Policy, Econjournals, vol. 4(4), pages 610-620.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:phs:prejrn:v:50:y:2013:i:1:p:57-82. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: RT Campos (email available below). General contact details of provider: https://edirc.repec.org/data/seupdph.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.