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Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization

Philippine Review of Economics

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Title Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization
 
Creator Rufino, Cesar; School of Economics, De la Salle University - Manila
 
Subject random walk; market efficiency; panel unit root tests; variance ratio tests; wild bootstrap; stock exchange modernization
 
Description This study explores the weak-form efficiency of the Philippine Stock Exchange (PSE) and its different sectoral markets using modern inference techniques with robust statistical properties. The research is motivated by the lack of consensus in the literature on the informational efficiency of the country’s stock market and the apparent scarcity of studies on the same issue using data covering the period of massive modernization of the exchange, geared toward transparent disclosures and integrity of transactions. The study may also be considered a fitting assessment of why the PSE is setting the pace over most stock exchanges in Asia in terms of growth levels across key stock market indicators, culminating in a highly successful year 2012 when it ranked ninth among the ten best-performing stock markets of the world. Evidence presented by the results of the study suggests the presence of overall informational efficiency in the Philippine Stock Exchange during the period under review.JEL Classification: C14, G14, G15
 
Publisher Philippine Review of Economics
 
Contributor
 
Date 2013-07-09
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.econ.upd.edu.ph/pre/index.php/pre/article/view/891
 
Source Philippine Review of Economics; Vol 50, No 1 (2013); 57-82
1655-1516
 
Language eng
 
Relation http://www.econ.upd.edu.ph/pre/index.php/pre/article/view/891/791
 
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