Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange
Brian Godwin Lim, Dominic Dayta, Benedict Ryan Tiu, Renzo Roel Tan, Len Patrick Dominic Garces, Kazushi Ikeda
股票市场错综复杂的动态导致了对能够有效解释其内在复杂性的模型的广泛研究。 这项研究利用计量经济学文献来探索动态因子模型,作为一个可解释的模型,具有足够的预测能力,可以捕捉基本的市场现象。 虽然该模型已广泛应用于预测目的,但本研究侧重于分析提取的负载和常见因素,作为理解股价动态的替代框架。 这些结果揭示了使用卡尔曼方法和最大可能性估计应用于菲律宾证券交易所时对传统市场理论的新见解,随后对资本资产定价模型进行了验证。 值得注意的是,一因素模型提取了代表与复合指数相似的系统或市场动态的共同因素,而双因素模型提取代表市场趋势和波动性的共同因素。 此外,现在预测菲律宾国内生产总值增长率的模型的应用突出了提取的共同因素作为可行的实时市场指标的潜力,导致样本外预测误差减少了34%以上。 总体而言,结果强调了动态因素分析在更深入地了解市场价格变动动态方面的价值。
The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the econometrics literature to explore the dynamic factor model as an interpretable model with sufficient predictive capabilities for capturing essential market phenomena. Although the model has been extensively applied for predictive purposes, this study focuses on analyzing the extracted loadings and common factors as an alterna...
