Do Philippine Stocks Catch Coronavirus? Some Econometric Check-up on Pandemic Data, 2021-2022

Mark Reniel M. Amarila and Luisito C. Abueg

Journal of Economics, Management & Agricultural Development, 2022, vol. 8, issue 01

Abstract: Using daily data from March 1, 2021 to March 31, 2022, the USD-PHP exchange rate and pandemic-related variables such as the number of cases, vaccinations, and stringency index in relation to the movements of Philippine Stock Exchange index (PSEi) were investigated. The paper views vaccination as an instrument for reducing economic uncertainty, subsequently providing a positive sentiment for investors and stock market. Ordinary least squares, autoregressive distributed lags, and vector autoregression was used to show some dynamics based on time series data. Particularly, there are indications of reported cases being negatively correlated and statistically significant for PSEi. Further, impulse response functions show that unanticipated shocks in vaccination and exchange rate temporarily affect the stock market index. Conversely, long-lasting effects were found for shocks in Covid-19 cases and stringency index. Overall, all the variables in the study only accounted for a small portion of explaining the fluctuations and movements of PSEi.

Keywords: Financial Economics; Risk and Uncertainty (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ags:pjemad:333542

DOI: 10.22004/ag.econ.333542

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