| Author | Reyes, Miguelito G. |
| Call Number | AIT RSPR no. IE-87-14 |
| Subject(s) | Stock-exchange--Philippines
|
| Note | A research study report submitted in partial fulfillment of the requirements for the degree of Master of Engineering, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Abstract | This paper intends to explore the economic variables
believed to explain the behavior of the common stock prices,
with particular reference to the Philippines. The methodology
followed, however , can a l so be applied to any other venue .
Econometric concepts were chosen over other possible methods
as the medium to develop the said models for each of the
representative companies in a sector. Explanatory (regression)
method was used because of its advantage over time-series (black- box) method as a forecasting tool in a long term basis. A s light
deviation was adopted in the procedure for estimating the
parameters by using Reweighted Least Squares based on Least
Median of Squares Regress ion instead of the traditional Least
Squares Method. The outliers which the former method did not take
into consideration were also analyzed. The s ignificance of the
parameters were tested using the conventional t - test (based on
Student distribution). To see the degree of forecast accuracy,
the Granger- Newbold Test (an F- test) was applied. Two model s were
developed to estimate the common stock prices of each companies. Model 1 was a combination of the macro and micro variables
(explicative) while Model 2 was the combination of the macro
variables and lagged residuals. Both model s we r e compared with
the Naïve Model.
A separate analysis was done with the stock price index of
the country. Similar procedures were done except for some
extensions. The Mean Absolute Percentage Error was used as
another criterion in comparing the SPI Model with the Naive
Model. This SPI Model and the Macro Mode l of the index price
were used to forecast price indices.
The use of econometric models is not a sufficient tool for
sound investment decision- making but they are of great
assistance.
|
| Year | 1987 |
| Type | Research Study Project Report (RSPR) |
| School | School of Engineering and Technology (SET) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Industrial Engineering (IE) |
| Chairperson(s) | Frausum, Yves G. Van
|
| Examination Committee(s) | Vanchai Ariyabuddhiphongs ;Tang, John C.S. |
| Scholarship Donor(s) | Government of Australia |
| Degree | Research Studies Project Report (M. Eng.) - Asian Institute of Technology, 1987 |