COVID-19 PANDEMIC EVENTS AND PHILIPPINE STOCK MARKET PERFORMANCE: TESTING FOR MULTIPLE BREAKPOINTS
Abstract
This study examined several PSEi breakpoints to determine if COVID-19-related headlines or events cause significant stock market breaks. From December 2, 2019 to May 5, 2022 (T=632), time-series data revealed that the stock market performed the worst during the first four months of 2020. Regression with ordinary least squares on PSEi values revealed the Philippine stock market has random walk characteristics for the same time period. The Breusch-Godfrey serial correlation LM test at two lags demonstrated serial correlation in the mean equation residuals. During COVID-19 pandemic events, the Chow test was applied to daily stock market data to identify structural breaks and PSEi shifts. The Bai-Perron test identified four noteworthy multi-breakpoints. On April 17, 2020, Leyte reported the first confirmed case of COVID-19, and Johns Hopkins University reported that the global death toll exceeded 50,000. This event is likely related to the cutoff dates of November 5 and 6, 2020, when the Philippines will have an average of 1,000 COVID-19 cases per day and the government will have identified specific sectors to receive free vaccines under the initial procurement. On March 23, 2021, 17 mayors of Metro Manila and neighbouring cities voted unanimously to close recreational establishments for two weeks, indicating a possible parallel to the breakpoints on September 3, 2021, when the Philippine Food and Drug Administration approved Moderna vaccines for 12–17-year-olds. Another breakpoint found was on October 11, 2021924,300 COVAX vaccines donated by the United States arrived at Ninoy Aquino International Airport. Breakpoint events and their implications for the study of financial economics were discussed.
JEL: E32; G11; G14; G17
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DOI: http://dx.doi.org/10.46827/ejefr.v7i3.1543
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