The Philippine Stock Exchange Index
The Philippine Stock Exchange Index (PSEi) is the stock market index of the Philippine Stock Exchange. It includes thirty companies listed on the exchange. This article will look at the composition of the index, its Time series model, and the impact of Granger. It also discusses the future outlook for the index.
Composition of the index
A new list of companies has been released by the Philippine Stock Exchange. In addition to the companies listed on the main board, ten companies will be added to the sector indices, while seven companies will be dropped from the index altogether. The companies will be listed under the services, industrial, and financial sectors.
The PSEi is composed of 30 companies that are publicly traded on the Philippine Stock Exchange. It measures the market capitalization and performance of listed companies in the country. Companies can be added to the PSE index if they meet specific criteria. These requirements include a minimum free float of fifteen percent and a minimum public ownership of 20 percent.
Time series model of the index
A time series model is an analysis technique used to predict the movement of an index. Time series data models may be linear or nonlinear. Linear models generate a large number of values and can be used to determine seasonality. Nonlinear models may be used to predict a single index, such as the Philippine stock exchange index.
This study aims to develop a time series model for the Philippine Stock Exchange Index (PSEi). The study identifies the economic variables that affect PSEi’s behavior and the models that can be used to predict future values. It also investigates the Granger causality test to see which time series model is the most appropriate for the PSEi.
Impact of Granger on the index
This study investigates the relationship between investor attention and returns volatility on the Philippine Stock Exchange index. It employs a Granger causality test on time series data, Google search volume index, and Investagrams Social Live Feeds. The results suggest that investor attention negatively affects returns volatility. However, this effect reverses when the study examines the effect of investor attention on returns volatility. It is concluded that search queries and social media posts provide important information on future volatility of the PSEi.
The impact of COVID-19 infection on the Philippine stock exchange index is small, but can be seen in other variables, such as the peso-dollar exchange rate. Furthermore, it is unlikely to have a major effect on the retail price of diesel. Hence, the relationship between COVID-19 infection and retail pump prices is weak.