Predicting Long-Run and Short-Run Movement of Sectoral Index: Evidence From Philippine Stock Market
نویسندگان
چکیده
The financial markets provide a viable avenue for investors who wants to invest their idle resources. Investors need accurate information minimize investment risk and make the right decision. This study attempted test predictability of Philippine Stock Exchange (PSE) sectoral indices. data used in this are daily closing price six indices from January 2010 December 2019. Augmented Dickey-Fuller (ADF) stationarity Johansen Cointegration Granger Causality analysis were long-run short-run relationship among results showed that all not predictable at index level (I(0)) but first difference (I(1)). found no relationships between result also revealed have both directions.
منابع مشابه
Long-Run and Short-Run Causality between Stock Price and Gold Price: Evidence of VECM Analysis from India
The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...
متن کاملlong-run and short-run causality between stock price and gold price: evidence of vecm analysis from india
the prime objective of the study is to identify the long-run and short-run relationship between indian stock price viz., bse sensex (hereafter named as bse) and gold price (gold) in india. the daily closing price data were collected for the period of ten years ranging from 1st april 2004 to 31st march 2014 with 2490 observations. the study employed two models: model one used gold as dependent v...
متن کاملInvestigating the Short-run and Long-run Causal Relationship between the Stock Price Index in Insurance Industry, Banking Sector and Investment Sector
The purpose of this Research is to investigate the causal relationship between the stock price index in the insurance industry, banking sector, and the investment sector during 2009 – 2017 period. So, a long-term relationship between variables was investigated by Johansson-Juselius test. Then, by Vector error correction model (VECM), the causal relation between the variables of the model was...
متن کاملThe Short and Long Run Causality between Agglomeration and Productivity
This study is to investigate the short- and long-run causal relationship between agglomeration (localization and urbanization) economies and labor productivity in the manufacturing sector of 28 Iranian provinces over an 11-year period, 2001–2011. Fully Modified Ordinary Least Squares (FMOLS) method was used to estimate our long-run panel data model. The empirical findings suggested that localiz...
متن کاملShort and Long Run Uncertainty Short and Long Run Uncertainty
Uncertainty appears to have both a short-run and a long-run component, which we measure using rm and macro implied volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these di erent time horizons, nding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is particularly important for long-run unc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Financial Research
سال: 2023
ISSN: ['1923-4023', '1923-4031']
DOI: https://doi.org/10.5430/ijfr.v14n2p18