Stock Market and Information Efficiency

CSXX

The 13th International Convention of

the East Asian Economic Association

Grand Copthorne Waterfront Hotel

Singapore, October 19-20 2012

Convention Theme:

“Opportunities and Challenges for Asian Economies in the New Millennium”

Noel B. Del Castillo (Miriam College)

Regulating the Philippine stock market: the Securities Regulation Code and the information efficiency of Philippine stock prices

Noel B. Del Castillo*
Miriam College, [e-mail] ABSTRACT

This paper investigates the impact of the Securities Regulation Code (SRC) on the information efficiency of the Philippine stock prices. Research in other countries has shown that new regulation has had a long-term effect in improving the information efficiency of stock prices. The paper replicates those studies using a sample of 38 stocks drawn from listed Philippine companies for the period 1998-2008. The results show an improvement in information efficiency over the period and the significant impact of the SRC.

Keywords: Securities regulation, Philippine stock market, Event studies

JEL No. G14, G28, G38, K22

Sessions Titles:
J. Financial Institutions and Markets
R. Institutions and Economic Analysis

*The author benefitted greatly from the comments of Emmanuel de Dios and Ma. Nimfa Mendoza, adviser and reader to the thesis version of this paper. He is also grateful to the valuable assistance provided by Paul Mariano and other colleagues and schoolmates at the Graduate School of the School of Economics, University of the Philippines Diliman. I. Introduction

On 19 July 2000, then-President Joseph Ejercito Estrada signed Republic Act No. 8799 and the Securities Regulation Code (SRC) finally became law. The passage of the act was historic since it resulted in the reorganization of the two of the most important financial institutions in the country: the

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