Tropical cyclones and their impact on stock market returns and volatility

Tropical cyclones and their impact on stock market returns and volatility

The Philippines is one of the world’s most disaster-prone countries. These disasters have an impact on the economy, which may influence the stock market returns and volatility. We used an ARMAX-EGARCH model to analyze the impact of tropical cyclones on the Philippine Stock Exchange Index (PSEi) and...

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Bibliographic Details
Main Authors: De Guzman, Christian Louis G. (Author), Fabula, Jewel Kyle M. (Author)
Other Authors: Monsod, Toby Melissa C. (adviser.)
Format: Thesis
Language:English
Subjects:
Cyclones > Economic aspects > Philippines.