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Efficiency of the Philippine stock market

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  • Rodolfo Aquino

Abstract

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.

Suggested Citation

  • Rodolfo Aquino, 2006. "Efficiency of the Philippine stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 463-470.
    • Handle: RePEc:taf:apeclt:v:13:y:2006:i:7:p:463-470
    DOI: 10.1080/13504850500397437
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    References listed on IDEAS

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    1. Dwipraptono Agus Harjito & Md. Mahmudul Alam & Rani Ayu Kusuma Dewi, 2021. "Impacts of International Sports Events on the Stock Market: Evidence from the Announcement of the 18th Asian Games and 30th Southeast Asian Games," Post-Print hal-03538176, HAL.
    2. 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.

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