The Relationship Between Philippine Interest Rates and Stock Price Movements

Rizalito L. Gregorio
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Rizalito L. Gregorio: Assistant Professor, College of Business Administration, University of the Philippines Diliman

Philippine Review of Economics, 1994, vol. 31, issue 1, 32-52

Abstract: For fund managers who are allowed asset-allocation choices between stocks and bonds, the relationship between these two assets is a matter of great concern. Since the interest rate is sometimes used as a key decision variable—and in a few cases as the sole decision variable—in the decision to shift between bonds and equities, the present study uses a bivariate approach in its analysis. Using the Box-Jenkins technique, the study found no significant relationship between 91-day interest rates and the Composite and Sectoral indices of the Makati Stock Exchange using data from January 1987 up to August 1993.

Date: 1994
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