IS THERE A SYNCHRONICITY BETWEEN THE PHILIPPINE STOCK EXCHANGE AND NEW YORK STOCK EXCHANGE?

This study examines the impact of macroeconomic variables such as real Gross Domestic Product, inflation rate, savings interest rate, foreign exchange rate, oil price and economic disturbances including the 9/11 incident and Internet bubble burst on the Philippines Stock Exchange composite price index. Using multiple linear regression analysis, monthly data from 1996 to 2006, including 119 observations were analyzed. The results indicate that rates of inflation, savings interest rate, foreign exchange rate and oil price significantly affected the Philippine Stock Exchange composite price index. The lag one first difference in the unit root test revealed stability of Philippine Stock Exchange (PSE) market and New York Stock Exchange (NYSE) market. Both were also found to be significantly affected by the two economic disturbances. Likewise, we find synchronicity between PSE and NYSE markets using Grangercausality test. Specifically, causality runs one-way from NYSE stock prices to PSE stock prices.