Non-Random Walk Behavior of Philippine Stock Prices

  • Rhenozo Barte University of the Philippines Cebu
Keywords: Random walk, unit root, autocorrelations, sequences, reversals, runs

Abstract

Random walk has been held as a sufficient condition for describing the stock market as efficient, which implies that investors cannot predict the market returns or equivalently, abnormal profits cannot be obtained just by knowing the past prices. This study tests the random walk hypothesis in the case of Philippine Stock Prices, using the daily PSE index (PSEi) covering the period 03 January 2005-16 February 2016. Main results, employing the informal or visual methods such as plot analysis of log returns and correlogram, suggest some initial evidence of non-randomness. The formal methods, employing tests for unit root, runs, sequences and reversals, variance ratio, and autocorrelations, show that the PSEi prices do not follow a random walk behavior.

Author Biography

Rhenozo Barte, University of the Philippines Cebu

is a Certified Public Accountant and currently working as Assistant Professor at the School of Management of the University of the Philippines Cebu, handling courses such as Basic Accounting, Managerial Accounting and Financial Management. He obtained his master’s degree from UPV Cebu College, and BS Accountancy Degree from UPV Iloilo campus. He worked for a few years (1999-2002) as accounting supervisor at EMI Philippines, Inc. He also spends his time doing social work and giving leadership talks on topics such as time management, work life balance and financial management. He is concurrently pursuing a
PhD in Business Administration.

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Websites
http://www.pse.com.ph/stockMarket/circulars.html

http://www.pse.com.ph/resource/filetemplate/file/pseindexguide.pdf

http://www.pse.com.ph/corporate/home.html

http://pse.com.ph/stockMarket/marketInfo-marketActivity.html?tab=1&indexName=All%20Shares
Published
2015-12-03
How to Cite
Barte, R. (2015). Non-Random Walk Behavior of Philippine Stock Prices. Recoletos Multidisciplinary Research Journal, 3(2). Retrieved from http://rmrj.usjr.edu.ph/index.php/RMRJ/article/view/115
Section
Articles