Can it walk the talk? Determining the validity of random walk hypothesis and technical analysis in the Philippine stock market

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ID: 286175
2023
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Abstract
The topic on the presence of the random walk hypothesis (RWH) and the application of technical analysis in stock markets has been a long ongoing debate among its participants. Despite this, not many studies have been done contextualizing these theories and analyses to the stock market in the Philippines. With this, the paper aimed to determine the validity of the RWH in the Philippine stock market and whether technical analysis can be applied as an investing strategy. The research utilized the Philippine Stock Exchange Index, BPI Invest Philippine Equity Index Fund, BDO Equity Index Fund, Metro Philippine Equity Index Tracker Fund, and First Metro Philippine Equity Exchange Traded Fund as representations of the Philippine stock market with the PSEi as a reference to the funds being analyzed. Through the employing of statistical tests to confirm these theories and analyses, the researchers were able to find that while other tests showed that the funds deviated from the RWH, there remain a few that confirm its presence in the Philippine stock market. Consequently, the examination of the application of technical analysis, specifically the indicators Simple Moving Average (SMA) and Moving Average Convergence Divergence (MACD), showed statistical significance. However, the results of prior tests confirming some degree of presence of RWH in the funds observed would be affecting the results of the indicators.
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persistent_1760657798_68f18186cac45 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Rasco, Cale Robert S.
Journal Malay Journal
Year 2023
DOI
DOI not found
URL
https://animorepository.dlsu.edu.ph/etdb_finman/73
Keywords Keywords not found

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