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Is There A Synchronicity Between The Philippine Stock Exchange And New York Stock Exchange?

Author

Listed:
  • Jodylyn Quijano-Arsenio
  • Karen Corpus
  • Young-Jin Kim
  • Julius Rola

Abstract

This study examines the impact of macroeconomic variables such as real Gross Domestic Product, inflation rate, savings interest rate, foreign exchange rate, oil price and economic disturbances including the 9/11 incident and Internet bubble burst on the Philippines Stock Exchange composite price index. Using multiple linear regression analysis, monthly data from 1996 to 2006, including 119 observations were analyzed. The results indicate that rates of inflation, savings interest rate, foreign exchange rate and oil price significantly affected the Philippine Stock Exchange composite price index. The lag one first difference in the unit root test revealed stability of Philippine Stock Exchange (PSE) market and New York Stock Exchange (NYSE) market. Both were also found to be significantly affected by the two economic disturbances. Likewise, we find synchronicity between PSE and NYSE markets using Grangercausality test. Specifically, causality runs one-way from NYSE stock prices to PSE stock prices.

Suggested Citation

  • Jodylyn Quijano-Arsenio & Karen Corpus & Young-Jin Kim & Julius Rola, 2009. "Is There A Synchronicity Between The Philippine Stock Exchange And New York Stock Exchange?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(1), pages 69-77.
    • Handle: RePEc:ibf:ijbfre:v:3:y:2009:i:1:p:69-77
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    References listed on IDEAS

    as
    1. Alok Kumar Mishra, 2004. "Stock Market and Foreign Exchange Market in India: Are they Related?," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 5(2), pages 209-232, September.
    2. Eli Ofek & Matthew Richardson, 2003. "DotCom Mania: The Rise and Fall of Internet Stock Prices," Journal of Finance, American Finance Association, vol. 58(3), pages 1113-1137, June.
    3. Khan Masood Ahmad & Shahid Ashraf & Shahid Ahmed, 2005. "Is the Indian Stock Market Integrated with the US and Japanese Markets?," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 6(2), pages 193-206, September.
    4. repec:bla:jfinan:v:58:y:2003:i:3:p:1113-1138 is not listed on IDEAS
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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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