Predicting Long-Run and Short-Run Movement of Sectoral Index: Evidence From Philippine Stock Market

William T. Sucuahi


The financial markets provide a viable avenue for investors who wants to invest their idle resources. Investors need accurate information to minimize investment risk and make the right investment decision. This study attempted to test the predictability of the Philippine Stock Exchange (PSE) sectoral indices. The data used in this study are the daily closing price of the six sectoral indices from January 2010 to December 2019. Augmented Dickey-Fuller (ADF) for stationarity test and Johansen Cointegration and Granger Causality analysis were used to test the long-run and short-run relationship among the six sectoral indices. The results showed that all indices are not predictable at the index level (I(0)) but predictable at the first difference (I(1)). The study found no long-run relationships between sectoral indices. The result also revealed that the sectoral indices have a short-run relationship in both directions.

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This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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