Stock market volatility in the Philippines
AbstractRegime-switching-ARCH regression was used on weekly aggregate Philippine stock return data from February 1987 to October 2000 to estimate its conditional variance. The estimated volatility was then related to major political/economic events and to fluctuations in economic activity as measured by real GDP growth. Four high volatility episodes were observed for the period under study. It was seen that high stock return volatility preceded a bust cycle, defined as a sequence of low growth periods. The study showed the sensitivity of the Philippine stock market to drastic changes in the political environment as well. This was observed twice during the late 1980s when a series of military coup attempts led to large fluctuations in the stock price index. In the 1990s, high return volatility was also observed twice. The lifting of the remaining foreign exchange and capital account restrictions in 1993 led to the third high volatility episode. In 1997, the start of the fourth volatility episode preceded the onset of the Asian financial crisis by a few months.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 5 (April)
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- Venus Khim-Sen Liew & Terence Tai-leung Chong, 2005. "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-5.
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