Macroeconomic Estimation of Selected Philippine Stock Market Indices

Abstract

The study used a panel data of macroeconomic factors to estimate the determinants of performance of selected Philippine stock market indices. Monthly time-series data of macroeconomic variables (Philippine peso-dollar exchange, gold reserves, consumer price index, wholesale price index, investments and OFW remittances) and stock market returns of the banking and financial sector (FIN), holdings sector (HDG) and Philippine Stock Composite Index (PSEi) for a period covering January 2006 to December 2012. The multiple regression model was used to determine the significant macroeconomic factors that predict the returns of each stock market. Results revealed that of the three regression models derived predicting stock market indices, peso-dollar exchange rates; gold reserves and consumer price index significantly determine most of the stock market returns. As an implication, the macroeconomic determinants that were found to explain the stock market returns may guide foreign and local investors as well as industries and companies in present and future investment decisions.