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

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  • Cesar Rufino

    (School of Economics, De Lasalle University-Manila)

Abstract

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 countryÕs 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. Classification-C14, G14, G15

Suggested Citation

  • Cesar Rufino, 2013. "Random walks in the different sectoral submarkets of the Philippine Stock Exchange amid modernization," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 50(1), pages 57-82, June.
    • Handle: RePEc:phs:prejrn:v:50:y:2013:i:1:p:57-82
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    File URL: http://pre.econ.upd.edu.ph/index.php/pre/article/view/891/791
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    References listed on IDEAS

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    Cited by:

    1. William Sucuahi & Eugene Bije, 2020. "Modeling Long-Term Relationships in Philippine Stock Market (PSE) Indices: A Cointegration Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(9), pages 989-998, September.

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