An Analysis of the Effects of the Modification of Community Quarantine Classifications on the Philippine Stock Market

Date

6-2023

Degree

Bachelor of Science in Economics

College

College of Economics and Management (CEM)

Adviser/Committee Chair

Niño Alejandro Q. Manalo

Committee Member

Amelia L. Bello, Gideon P. Carnaje, Agham C. Cuevas

Abstract

During the COVID-19 pandemic, countries around the world imposed a number of measures in order to contain the spread of the virus. This lead to an unprecedented synchronized implementation of lockdowns around the globe which has traumatized financial markets, including the Philippine stock market. In order to stop the spread of the virus, the Philippines had implemented five types of Community Quarantines, corresponding to a certain degree of allowed mobility within the area it is implemented. Using panel data regression, the study investigates the effects of community quarantine classifications implemented in the National Capital Region on the Philippine Stock Market. The results of the Feasible Generalized Least Square (FGLS) Regression with Fixed Effects model found that Modified Enhanced Community Quarantine (MECQ), General Community Quarantine with Heightened Restrictions (GCQH), and General Community Quarantine (GCQ) had a negative impact on the volatility of stock returns, relative to Enhanced Community Quarantine (ECQ). MGCQ was found to have positive impact on the volatility of stock returns relative to ECQ, but had less volatile stock returns relative to ECQ. Moreover, the volatility of stock prices in the financial sector was found to be significantly less relative to the stocks belonging to the holding firms sector. Thus, risk- averse investors, should invest during MECQ, GCQH, GCQ, and MGCQ, where stock returns are less volatile. Furthermore, GCQH should be implemented in favor of other community quarantine classifications, as stock returns are the least volatile during this period, should another global outbreak occur.

Language

English

LC Subject

Stock exchanges -- Philippines, Quarantine

Location

UPLB College of Economics and Management (CEM)

Call Number

LG 993.5 2023 E2 R39

Notes

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Document Type

Thesis

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