Analysis of the Relationship Between the Philippine Stock Exchange Index, Inflation Rate, USDPHP Exchange Rate, S&P 500, and Bitcoin Prices

Date

1-2023

Degree

Bachelor of Science in Economics

College

College of Economics and Management (CEM)

Adviser/Committee Chair

Amelia L. Bello

Committee Member

Ma. Luisa G. Valera, Gideon P. Carnaje, Agham C. Cuevas

Abstract

This study attempts to analyze if a relationship exists between the Philippine Stock Exchange Index (PSEi), the Philippine inflation rate, the USDPHP exchange rate, the S&P 500, and the prices of Bitcoin. The economic shock of the COVID-19 pandemic had a significant impact on financial markets which caused investors and traders to participate in markets such as cryptocurrencies and stock markets because of fear from risk or uncertainty of its prices. Using the dummy variable approach, Augmented Dickey-fuller test, Engle-Granger cointegration test, error correction model, Akaike Information Criterion, Schwartz Information Criterion, and Granger causality test, the paper discusses the significance of the COVID-19 pandemic and analyzes the relationship between the PSEi, the inflation rate, the USDPHP exchange rate, the S&P 500, and Bitcoin prices.

The results showed that a significant structural break caused by the COVID-19 pandemic was present for all variables except for the inflation rate. All variables were observed to follow a random walk process and the financial markets were deemed to be weak-form market efficient. The S&P 500 was found to be the only variable that exhibits a long-run relationship with Bitcoin. The results also showed that there is a lag in the movement of prices back to their common trend and it would take about 4.51 months for the S&P 500 and Bitcoin to fully return to equilibrium. The S&P 500 and Bitcoin were found to be independent of one another despite their preliminary cointegrated relationship.

Language

English

LC Subject

Stock exchanges

Location

UPLB College of Economics and Management (CEM)

Call Number

LG 993.5 2023 E2 C67

Notes

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Document Type

Thesis

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