Modeling Long-Term Relationships in Philippine Stock Market (PSE) Indices: A Cointegration Analysis

Asian Economic and Financial Review

article

William Sucuahi¹  Eugene Bije² 

[1] University of Mindanao;University of Southeastern Philippines

关键词: PSE index;    Sectoral indices;    Stock market;    Random walk hypothesis;    Unit root test;    Cointegration analysis.;   

DOI  :  10.18488/journal.aefr.2020.109.989.998

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

Over previous decades, market participants have been unsure about how to forecast the movement of the stock market. Coming up with a good forecasting model could lead stock market participants towards a less risky investment portfolio. This study attempts to explore the haphazard nature of Philippine Stock indices and the long-term relationship between Philippine Stock Exchange (PSE) sectoral indices and the PSE index. The data series used are the daily closing values of the PSE index and six sectoral indices between July 2010 to December 2019. This study employs an Augmented Dickey-Fuller (ADF) unit root test and a Johansen cointegration test. The results revealed that all indices are non-stationary at index level, but stationary at first difference. The results showed that all indices followed a random walk; however, no long-term relationships between the PSE index and five sectoral indices were found. Therefore, long-term investors are able to diversify their portfolio to reduce investment risk.

【 授权许可】

CC BY