Efficiency of the Philippine stock market
AbstractThe study examines the efficiency of the Philippine stock market using stock price movements during the period July 1987 to May 2004. Characterizing stock price movements as an AR(1) process with Laplace residuals, the statistical evidence supports the hypothesis that the Philippine stock market is weak-form efficient. An examination of major events that could plausibly affect share prices and large price movements from an event study perspective indicates fairly rapid absorption by the market of information, except in cases of extreme stress caused by political and economic shocks. Furthermore, factors other than information about fundamentals appear able to cause major share price movements. Given these, the support for the semistrong-form efficiency of the stock market is mixed.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 13 (2006)
Issue (Month): 7 ()
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