Stock Market Integration: Case of the Philippines

Tiffany Adelaine Tan

Tiffany Adelaine Tan University of the Philippines Cebu College

Keywords: Markov switching models, Regime-switching, MSVAR, Philippine stock market, structural breaks

Abstract

This study examines the relationships of stock returns in various international market—the US, UK, Japan, Singapore, China (via Shanghai and Hong Kong)—with those in the Philippines for the period 2000 to 2010. The study uses the Markov-Switching (MS) model to define the structural breaks in the returns. The results indicate that the Philippine stock market integration with the world—whether US, UK or Asia— is low.