Efficiency of the Philippine stock market
The 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.
Volume (Year): 13 (2006)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
- Gabrielle Berman & Robert Brooks & Sinclair Davidson, 2000. "The Sydney Olympic Games announcement and Australian stock market reaction," Applied Economics Letters, Taylor & Francis Journals, vol. 7(12), pages 781-784.
- David M. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
NBER Working Papers
2538, National Bureau of Economic Research, Inc.
- Halil Kiymaz, 2002. "The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(7), pages 469-474.
- Chris Brooks & Gita Persand, 2001. "Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects," Applied Economics Letters, Taylor & Francis Journals, vol. 8(3), pages 155-158.
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:13:y:2006:i:7:p:463-470. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.