The Existence of Random Walk in the Philippine Stock Market: Evidence from Unit Root and Variance-Ratio Tests

CAMBA, Abraham C. Jr.,CAMBA, Aileen L. Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.10

The efficient market hypothesis explains the random walk hypothesis suggesting that stock prices are independent of each other, hence, it is impossible to earn abnormal profits. The positive effect of a well-functioning and highly efficient stock market on the performance of an economy motivated the Philippine Stock Exchange to pursue massive modernization initiatives. This research provides evidence of the existence of random walk in the Philippine stock market employing the Augmented Dickey-Fuller (1981) and Phillips-Perron (1988) unit root tests, the Lo-MacKinlay's (1988) conventional variance ratio test, and Chow-Denning's (1993) simple multiple variance ratio test. Results of the ADF and PP unit root tests confirm the necessary condition for a random walk. The Chow-Denning (1993) maximum /z/ statistic and the Wald test statistic as in Richardson and Smith (1991) for the joint hypotheses and the Lo and MacKinlay (1988) individual statistics variance ratio test generally accepted the null hypothesis of a random walk. That is, the unit root and variance ratio tests consistently indicate that the null hypothesis of random walk cannot be rejected. The existence of a random walk in weak-form efficiency can be attributed to market liquidity as a result of continuous development and modernization of the Philippine equity market.

The Dynamic Relationship of Domestic Credit and Stock Market Liquidity on the Economic Growth of the Philippines

CAMBA, Abraham C. Jr.,CAMBA, Aileen L. Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.1

The paper examines the dynamic relationship of domestic credit and stock market liquidity on the economic growth of the Philippines from 1995 to 2018 applying the autoregressive distributed lag (ARDL) bounds testing approach to cointegration, together with Granger causality test based on vector error correction model (VECM). The ARDL model indicated a long-run relationship of domestic credit and stock market liquidity on GDP growth. When the GDP per capita is the dependent variable there is weak cointegration. Also, the Johansen cointegration test confirmed the existence of long-run relationship of domestic credit and stock market liquidity both on GDP growth and GDP per capita. The VECM concludes a long-run causality running from domestic credit and stock market liquidity to GDP growth. At levels, domestic credit has significant short-run causal relationship with GDP growth. As for stock market liquidity at first lag, has significant short-run causal relationship with GDP growth. With regards to VECM for GDP per capita, domestic credit and stock market liquidity indicates no significant dynamic adjustment to a new equilibrium if a disturbance occurs in the whole system. At levels, the results indicated the presence of short-run causality from stock market liquidity and GDP per capita. The CUSUMSQ plot complements the findings of the CUSUM plot that the estimated models for GDP growth and GDP per capita were stable.

The Effects of Restrictions in Economic Activity on the Spread of COVID-19 in the Philippines: Insights from Apple and Google Mobility Indicators

CAMBA, Abraham C. Jr.,CAMBA, Aileen L. Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.12

This study aims to investigate the effects of restrictions in economic activity on the spread of COVID-19 in the Philippines. This research employs daily time-series data of confirmed new COVID-19 cases, Apple mobility trends (i.e., use of public transport to destinations, volume of people driving, and amount of walking to destinations) and Google community mobility (i.e., visits to transit stations, visits to workplaces, and staying-at-home) indicators covering the period February 17 to September 11, 2020. The analysis starts by establishing the correlation pattern of new confirmed COVID-19 daily infections to each independent variable. The results show negative linear correlation of the number of new COVID-19 daily infections with less visit to transit station, increase stay-at-home, less use of public transport, and less amount of walking to destinations. Interestingly, the number of new COVID-19 daily infections indicates some form of positive linear correlation with visits to workplaces and volume of people driving. Moreover, employing robust least square regression via the method of MM-estimation, major findings reveal that across mobility measures, staying-at-home has the highest impact on reducing the spread of COVID-19, followed by visiting transit stations less, less use of public transport, less amount of walking, and less workplace visits.

The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel

CAMBA, Aileen L.,CAMBA, Abraham C. Jr. Korea Distribution Science Association 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.10

This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.

An Engle-Granger and Johansen Cointegration Approach in Testing the Validity of Fisher Hypothesis in the Philippines

Abraham C. CAMBA Jr,Aileen L. CAMBA 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.12

This study contributes to the existing literature and tries to analyze the validity of the Fisher hypothesis in the Philippines. Using monthly data from January 1995 to December 2020, the empirical analysis used the Engle-Granger and Johansen cointegration testing technique. The correlation coefficient suggests a strong positive association. All things being equal, a rise in inflation leads to a rise in the nominal interest rate. The unit-root tests show that inflation and the nominal interest rate are both stationary. Based on both Engle-Granger and cointegrating regression Durbin-Watson tests, the nominal interest rate and inflation are cointegrated. Likewise, the results from Johansen cointegration indicate that there exists a long-run relationship between the variables. However, we rejected a one-to-one relationship between nominal interest rate and inflation. The error correction term coefficient (ECM) shows that it is statistically significant suggesting that the nominal interest rate adjusts to the inflation rate with a lag. The Pair-wise Granger Causality test reported a bi-directional causal relationship between nominal interest rate and inflation. Inflation targeting has been the monetary policy framework of choice for most central banks. In essence, the conclusions of this study are useful to central banks because they help them better comprehend the long-run equilibrium relationship between the nominal interest rate and inflation.

The Mean Reverting Behavior of Inflation in the Philippines

Abraham C. CAMBA Jr,Aileen L. CAMBA 한국유통과학회 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.10

Central Bank authorities should carefully manage inflation rate uncertainties to achieve economic growth and development not only in the short-run but also in the long-run. Since inflation is a key macroeconomic variable, an increased understanding about its behavior is undoubtedly important. Thus, paper employs unit root with breakpoints to examine the mean reverting behavior of inflation rate in the Philippines using monthly data from 2002 to 2020. Empirically, the unit root breakpoint innovational and additive outlier tests favor the stationarity or mean reverting behavior of inflation in the Philippines. Also, results of standard unit root tests, ADF, PP, GLS-Dickey- Fuller, KPSS and NP, provide strong evidence of mean reverting processes. The mean reverting behavior of inflation rate reveals that the monetary policy using inflation targeting framework has succeeded in reducing chronic inflation persistence in the Philippines. Thus, this research supports inflation targeting policy that aims to maintain general price level stability for the Philippine economy’s long-term growth and development prospects. The findings of this research remain important for the central bankers for not only providing them better understanding about the behavior of inflation rate, but also helping them formulate and implement policy reforms related to money, credit and banking.

China’s Rise in Asia: China-Host Country Interactions and Transformations

Alvin Camba,Guanie Lim,Victoria Chonn Ching 경남대학교 극동문제연구소 2023 ASIAN PERSPECTIVE Vol.47 No.4

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How Chinese Capital Exacerbates Structural Violence: Externalization, Extraction, and Reaffirmation against Ethnic Minorities in the Global South

Alvin Camba,Stefanie Kam Li Yee 경남대학교 극동문제연구소 2023 ASIAN PERSPECTIVE Vol.47 No.4

How does Chinese capital exacerbate structural violence against ethnic minorities in host countries? While a growing number of works examine the effects of Belt and Road Initiative (BRI) and non-BRI Chinese projects, these works focus on economic effects, political impacts, or negative socioenvironmental ramifications on communities. However, there has yet to be work on the specific relationship between Chinese capital and ethnic relations in the host country. In the form of major BRI and non-BRI projects, we suggest that Chinese capital acts as an external stimulus that gives ethnic coalitions, which often comprise host country elites who represent the majority ethnic groups, the power to design and finance large-scale ventures. We argue that three mechanisms, particularly externalization, extraction, and reaffirmation, exacerbate structural violence against ethnic minorities. Through field research, analysis of government documents, and literature review, the cases of the Philippines, Pakistan, and Myanmar illustrate our argument. The shadow case of Xinjiang strengthens our argument as well.

Aromatic Polyimides Containing Cyclopropylamide Fragment as Pendant Group. A Study of the Balance Between Solubility and Structural Rigidity

Alain Tundidor-Camba,Claudio A. Terraza,Luis H. Tagle,Deysma Coll,Pablo Ortiz,Germán Pérez,Ignacio A. Jessop 한국고분자학회 2017 Macromolecular Research Vol.25 No.3

Aromatic polyimides (PIs) containing a cyclopropylamide moiety as bulky polar pendant group were prepared in high yield and were structurally characterized. Polyimides containing 4,4’-hexafluoroisopropyliden diphthalic anhydride and bis(3,4-dicarboxyphenyl)dimethylsilane anhydride were soluble in aprotic polar organic solvents, while those PI derived from benzophenone-3,3′,4,4′-tetracarboxylic dianhydride with a keto central unit was insoluble. The relationship between bulky pendant group and the nature of the central moiety of the dianhydride monomer respect to the thermal properties of the PIs was studied. All PIs were thermally stable showing thermal decomposition temperature with the 10% weight loss (TDT10%) between 425-480 ºC. The glass transition temperature (Tg) values range between 265 and 315 oC. Mechanical properties from films of a selected PI were tested too.

Capturing the Short-run and Long-run Causal Behavior of Philippine Stock Market Volatility under Vector Error Correction Environment

Abraham C,CAMBA Jr 한국유통과학회 2020 The Journal of Asian Finance, Economics and Busine Vol.7 No.8

This study investigates the short-run and long-run causal behavior of the Philippine stock market index volatility under vector error correction environment. The variables were tested first for stationarity and then long-run equilibrium relationship. Moreover, an impulse response function was estimated to examine the extent of innovations in the independent variables in explaining the Philippine stock market index volatility. The results reveal that the volatility of the Philippine stock market index exhibit long-run equilibrium relationship with PesoDollar exchange rate, London Interbank Offered Rate, and crude oil prices. The short-run dynamics-based VECM estimates indicate that in the short-run, increases (i.e., depreciation) in Peso-Dollar exchange rate cause PSEI volatility to increase. As for the London Interbank Offered Rate, it causes increases in PSEI volatility in the short-run. The adjustment coefficients used with the long-run dynamics validates the presence of unidirectional causal long-run relationship from Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices to PSEI volatility, and bidirectional causal long-run relationship between PSEI volatility and London Interbank Offered Rate. The impulse response functions developed within the VECM framework demonstrate the positive and negative reactions of PSEI volatility to unanticipated Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil price shocks.