IDEAS home Printed from https://ideas.repec.org/a/jfr/ijfr11/v14y2023i2p18-30.html

Predicting Long-Run and Short-Run Movement of Sectoral Index: Evidence From Philippine Stock Market

Author

Listed:
  • William T. Sucuahi

Abstract

The financial markets provide a viable avenue for investors who wants to invest their idle resources. Investors need accurate information to minimize investment risk and make the right investment decision. This study attempted to test the predictability of the Philippine Stock Exchange (PSE) sectoral indices. The data used in this study are the daily closing price of the six sectoral indices from January 2010 to December 2019. Augmented Dickey-Fuller (ADF) for stationarity test and Johansen Cointegration and Granger Causality analysis were used to test the long-run and short-run relationship among the six sectoral indices. The results showed that all indices are not predictable at the index level (I(0)) but predictable at the first difference (I(1)). The study found no long-run relationships between sectoral indices. The result also revealed that the sectoral indices have a short-run relationship in both directions.

Suggested Citation

  • William T. Sucuahi, 2023. "Predicting Long-Run and Short-Run Movement of Sectoral Index: Evidence From Philippine Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 14(2), pages 18-30, April.
    • Handle: RePEc:jfr:ijfr11:v:14:y:2023:i:2:p:18-30
    DOI: 10.5430/ijfr.v14n2p18
    as

    Download full text from publisher

    File URL: https://www.sciedu.ca/journal/index.php/ijfr/article/view/23411/14571
    Download Restriction: no
    File URL: https://www.sciedu.ca/journal/index.php/ijfr/article/view/23411
    Download Restriction: no
    File URL: https://libkey.io/10.5430/ijfr.v14n2p18?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Dongxiang Zhang & Tsui-Chih Wu & Tsangyao Chang & Chia-Hao Lee, 2012. "Revisiting The Efficient Market Hypothesis For African Countries: Panel Surkss Test With A Fourier Function," South African Journal of Economics, Economic Society of South Africa, vol. 80(3), pages 287-300, September.
    2. Brooks,Chris, 2008. "RATS Handbook to Accompany Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521896955, Enero-Abr.
    3. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    4. Rodolfo Aquino, 2006. "Efficiency of the Philippine stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 463-470.
    5. Charan Raj Chimrani & Farhan Ahmed & Vinesh Kumar Panjwani, 2018. "Modeling Sectoral Stock Indexes Volatility: Empirical Evidence from Pakistan Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 319-324.
    6. 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.
    7. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    8. Awais Ahmed & Rizwan Ali & Abdullah Ejaz & Muhammad Ishfaq Ahmad, 2018. "Sectoral integration and investment diversification opportunities: evidence from Colombo Stock Exchange," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 5(3), pages 514-527, March.
    9. Awais Ahmed & Rizwan Ali & Abdullsh Ejaz & Ishfaq Ahmad, 2018. "Sectoral integration and investment diversification opportunities: evidence from Colombo Stock Exchange," Post-Print hal-01773967, HAL.
    Full references (including those not matched with items on IDEAS)

    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. 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.
    2. Shaikh, Salman, 2013. "Investment Decisions by Analysts: A Case Study of KSE," MPRA Paper 53802, University Library of Munich, Germany.
    3. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    4. Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org, revised Jun 2015.
    5. Athar Iqbal & Akhtiar Ali & Peter Xavier D’Abreo, 2017. "Fama And French Three Factor Model Application In The Pakistan Stock Exchange (Pse)," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 13(1), pages 13-11.
    6. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
    7. repec:cam:camjip:2506 is not listed on IDEAS
    8. Lucena, Pierre & Fugueiredo, Antonio Carlos, 2004. "Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa [Assumptions of Market Efficiency: an empirical analysis at Bovespa/Brazil]," MPRA Paper 40884, University Library of Munich, Germany.
    9. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    10. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
    11. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
    12. Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
    13. Kent Daniel & Sheridan Titman & K.C. John Wei, 2001. "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
    14. David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012. "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, vol. 58(2), pages 320-335, February.
    15. Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
    16. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
    17. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    18. Massimo Massa & William Goetzmann & K. Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm8, Yale School of Management, revised 01 Jan 2001.
    19. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
    20. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
    21. Lucena, Pierre & Figueiredo, Antonio Carlos & Lachtermacher, Gerson, 2008. "Critérios de formação de carteiras de ativos através de hierarchical clusters [Criteria of portfolio formation of stocks through hierarchical clusters]," MPRA Paper 38105, University Library of Munich, Germany.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    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:jfr:ijfr11:v:14:y:2023:i:2:p:18-30. 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: Gina Perry (email available below). General contact details of provider: http://ijfr.sciedupress.com .

    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.