How Newspaper-Article-Events, Other Stock Market Indices, and the Foreign Currency Rate Affect the Philippine Stock Market
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Keywords

Newspaper-article-events, Expressivity Rating, Foreign Exchange Rate (Forex), Philippine Stock Market Index (Phisix)

How to Cite

Gabriel, P. S. (2013). How Newspaper-Article-Events, Other Stock Market Indices, and the Foreign Currency Rate Affect the Philippine Stock Market. Asian Economic and Financial Review, 3(4), 423–444. Retrieved from https://archive.aessweb.com/index.php/5002/article/view/1008

Abstract

Eugene Fama in his “Efficient Market Hypothesis” introduced the term newspaper-article-event. The aim of this paper is to find out if newspaper-article-events which are presented and discussed in newspaper articles and which could collage to create an atmosphere of investment, together with the indices of other stock markets (treated as other events) and the performance of the Philippine Peso against the US Dollar (considered as another event) could affect the closing Philippine Stock Market Indices (Phisix) during the 2004 Election Campaign in the Philippines and the 2005 Impeachment Controversy against the Philippine President Gloria Macapagal-Arroyo. Expressivity rating was conceived to measure the expressivity of newspaper articles and, in turn, represent the degree of positiveness, neutralness or negativeness of newspaper-article-events. This research found significant correlations between the closing Forex rate the day before and the present closing Phisix for the two cases. Significant models were also derived incorporating several types of newspaper articles, other stock market indices and the previous Forex rate for the two cases.

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