Stock Market, Exchange Rate, and Foreign Capital Flows Linkages in the Philippines

Date

6-2024

Degree

Bachelor of Science in Economics

College

College of Economics and Management (CEM)

Adviser/Committee Chair

Emmanuel Genesis Andal

Committee Member

Ma. Luisa G. Valera, Gideon P. Carnaje, Ma. Angeles O. Catelo

Abstract

This paper aims to provide empirical evidence on the relationship among stock market return, exchange rate return, and foreign capital flows before and during the COVID-19 pandemic. The study utilized secondary daily data on Philippine Stock Exchange index (PSEi), six sectoral indices (Financial, Holding Firms, Property, Industrial, Services, Mining & Oil), USDPHP exchange rate, and total net foreign buying/selling in all securities listed in the Philippine Stock Exchange (PSE). The data covers the period from January 5, 2016 to May 4, 2023. Applying Granger Causality, the results show that the pandemic disrupted the usual relationship among the variables as compared to pre-pandemic results. The results imply that the pandemic became critical in influencing foreign investor behavior. Continued monitoring of the stock market, exchange rates, and foreign investment is crucial to understand if pre-pandemic relationships return or if new dynamics emerge on post-pandemic period.

Language

English

LC Subject

Stock Exchanges

Location

UPLB College of Economics and Management (CEM)

Call Number

LG 993.5 2024 E2 E44

Notes

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Document Type

Thesis

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