Effects of calendar anomalies to the volatility of the blue chip stocks in the Philippine Stock Exchange /
by John Zedrick Gatdula, Hira Angelica Hermoso and Shaira Mae Jarin.
- Indang, Cavite : Cavite State University- Main Campus, 2018.
- xvi, 84 pages : illustrations ; 28 cm.
Thesis (Bachelor of Science in Business Management Major in Financial Management) Cavite State University.
Includes bibliographical references.
College of Economics, Management and Development Studies (CEMDS), Department of Management College of Economics, Management and Development Studies (CEMDS), Department of Management
GATDULA, JOHN ZEDRICK B., HERMOSO, HIRA ANGELICA Y., and JARIN, SHAINA MAE B. Effects of Calendar Anomalies to the Volatility of the Blue Chip Stocks in the Philippine Stock Exchange. Undergraduate Thesis. Bachelor of Science in Business Management major in Financial Management. Cavite State University. Indang, Cavite. June 2018. Adviser: Mr. Geller T. Cueno. This study was conducted to determine the effects of calendar anomalies to the volatility of the blue chips stocks in the Philippine Stock Exchange for live years. It aimed to prove the existence of calendar anomalies, namely: day-of-the-week effect, holiday effect, month-of-the-year effect, and ghost month effect in the PSE. 1 his study likewise aimed to (I) determine the "day-of-the-week effect" anomaly affecting the blue chip stocks of PSE, (2) determine the "holiday effect" anomaly affecting the blue chip stocks of PSE, (3) determine the "month-of-the-year effect" anomaly affecting the blue chip stocks of PSE, (4) determine the effect of the following calendar anomalies on the volatility of blue chips stocks in the PSE: (a) Day-of-the-Week Effect, (b) Holiday Effect, (c) Month-of-the-Year Effect, and (d) Ghost Month, (5) determine which among the calendar anomalies has the most influence on the volatility of blue chips stocks in the PSE, and (6) determine the sector/s most volatile during the following calendar anomalies: (a) Day-of-the-Week Effect, (b) Holiday Effect, (c) Month-of-the-Year Effect, and (d) Ghost Month. The main purpose of this study was to test the efficiency of Philippine stock market. The study used secondary data from the Morning Star website for the daily closing prices of the blue chip stocks. These data were carefully analyzed using panel data regression, namely, Common Pooled Regression and Fixed Effect Model. Through this study, the researchers were able to identify the effects of calendar anomalies in the PSE. The existence of calendar anomalies. As based on the result of the study in the Philippines stock market signified that the said market is still inefficient.