Analyzing the Effect of Covid-19 Vaccination on the Philippine Stock Market

Date

6-2022

Degree

Bachelor of Science in Economics

College

College of Economics and Management (CEM)

Adviser/Committee Chair

Luisito C. Abueg

Committee Member

Niño Alejandro Q. Manalo, Luisito C. Abueg, Maria Angeles O. Catelo, Agham C. Cuevas

Abstract

This study attempts to examine the relationship and the effect of COVID-19 vaccination on the performance of the Philippine Stock Market by employing several econometric models such as Ordinary Least Square (OLS) regression, Autoregressive Distributed Lag (ARDL) model, and the Vector autoregressive (VAR) model re-expressed as ancillaries such as the Impulse Response Function (IRF) and the Forecast Error Variance Decomposition (FEVD). Using daily data ranging from March 1, 2021, to March 31, 2022, macroeconomic variables such as the USD-PHP exchange rate and the pandemic-related variables such as the confirmed cases, vaccination, and the stringency index were considered as the primary explanatory variables for the movements of the Philippine Stock Exchange index (PSEi).

The study has viewed vaccination as an instrument for reducing the uncertainty in the economy, subsequently providing a positive sentiment for the investors and the stock market. The result of the OLS model showed that all variables were non-significant and that the model missed an important variable explaining the stock market movement. Further, the ARDL model results show that vaccination lacks explanatory power for the stock market movements. At the same time, the reported cases were negatively correlated and statistically significant for the PSEi. The IRFs show that unanticipated shocks in vaccination and exchange rate temporarily affect the stock market index. In contrast, long- lasting effects were found for shocks in COVID-19 cases and the stringency index. Overall, all the variables in the study only accounted for a small portion of explaining the fluctuations and movements of the PSEi.

Language

English

LC Subject

Stock market, Vaccination, COVID-19 pandemic

Location

UPLB College of Economics and Management (CEM)

Call Number

LG 993.5 2022 E2 A43

Document Type

Thesis

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