An Empirical Study on the Weak-Form Efficiency of the Philippine Stock Market

Abstract

This paper determines the weak-form efficiency of the Philippine stock market.  Three-year daily returns (1990-1992) of six stocks which account for about 60 percent of the index as of December 31, 1992 were used in the study applying co-integration tests.  These stocks are ANSCOR A, Ali B, First Philippine Holdings A, PLDT “Common,” PNB, and SMC A.  The results show that the market is not efficient in the weak-form which suggests that technical analysis can be useful in analysing the Philippine stock market.