The relationship of the daily number of COVID-19 cases, lockdown classifications in the National Capital Region, and Philippine stock returns: An analysis

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ID: 286195
2022
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Abstract
After the World Health Organization’s (WHO) official announcement of the COVID-19 as a global pandemic, it did not only affect public health but also severely damaged the global economy. Prior research has proven that countries such as the Philippines would be greatly affected by the pandemic since the country is considered a lower-middle-income country and an emerging economy. The main purpose of this study is to analyze the relationship between the confirmed daily number of COVID-19 cases, lockdown classifications in the National Capital Region (NCR), and the daily returns of the Philippine Stock Exchange Index (PSEi), All Shares Index, and the sectoral indices of the Philippines through the utilization of Pearson Correlation Coefficient test (Pearson’s R), robust multiple regression model, and a lagged regression model. The findings of the Pearson’s R tests indicate that all the returns of the indices are negatively correlated to the COVID-19 cases; with the Financial Index was the most affected, while the Mining and Oil index were the least affected. The results of the robust regression tests show that the percentage change of COVID-19 affects the PSEi, All Share index, Financial index, Holding Firms index, and Property index; while the lockdown phases are insignificant for all of the robust regression tests. For the lagged regression tests, all of the independent variables were found to be insignificant except for the percentage change of daily COVID-19 cases for the Services index. Overall, the results of the study prove that there is a relationship between the daily COVID-19 cases and the Philippine stock returns, but it only affects a small part of the market, and that the initial drop in stock returns at the beginning of the pandemic was an overreaction of the market, but in the succeeding years, it was able to adapt and accept the situation so it was able to go back to business as usual.
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Authors Rivera, Isabelle Rhein D.
Journal Malay Journal
Year 2022
DOI
DOI not found
URL
https://animorepository.dlsu.edu.ph/etdb_finman/37
Keywords Keywords not found

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