Value and Size Effects in the Stock Market of the Philippines

Abstract

Several market abnormalities, such as the small size effect or the value effect, have been found in the stock markets across the world. In this article it is analyzed the case of the stock market of the Philippines. The Philippines, while having a relatively large economy and a capital market with long history, has attracted less research than other Asian countries, such as China or Japan. This is perhaps due to the much larger size of the economies and capital markets of those countries. Nevertheless the stock market of the Philippines is important enough to warrant attention. It will be shown that in recent years there is no indication of a value effect or a small size effect in the stock market of the Philippines, which is surprising given the amount of articles finding such results in other countries. The results were consistent when using the entire dataset as well as when comparing each year individually. It was also found, using weekly returns, that value and growth stocks as well as small and large companies present volatility clustering, which is a result more consistent with the existing literature in other markets. There are less evidence of volatility clustering when using monthly returns rather than when using weekly returns.