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.
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Volume (Year): 13 (2006)
Issue (Month): 7 ()
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References listed on IDEAS
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- 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.
- 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.
- David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
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- 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.
- 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. Full references (including those not matched with items on IDEAS)
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