Has Liberalization Increased Philippine Stock Market Volatility?  

Oleh:

Francisco, Jamil Paolo S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Loyola Schools ReView Social Sciences vol. 8 (2009), page 69-95.
Topik: Stock Market Volatility; Financial Liberalization; TGARCH

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: LL24 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This research study examines the historical volatility of returns in the Philippines stock market from January 1984 to January 2004 to determine whether liberalization had increased the volatility of stock returns. Liberalization is seen to have opened up the market to a greater number and an increased partiipation of speculative investors who rely on imperfect information in making investment decisions. This leads to huge price swings whenever new information arrives. The empirical study confirms the hypothesis, with the coefficient of the post-liberalization variable receiving a statistically significant, positive value. Results also show an increase in the level of returns after liberalization. Although market openin may have been completed more than a decade ago, its negative effects on financial stability continue to be relevant. It is recommended that policies be adopted to further improve market transperency and address the problems of asymmetric information that aggravate the negative volatility effects of liberalization.

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