Inside the Philippine Stock Exchange — A Data Look at PSEi

Every business news report here mentions the PSEi. "The index closed up 0.8%." "Foreigners sold for a fifth straight day."

It is always today against yesterday. I wanted to zoom out.

What does ten years of PSEi look like? Which parts of the market push it around? Who is buying, and who is leaving? And what really happened in the COVID crash?

What This Project Covers

The study runs from 2014 to 2025. The index numbers come from Yahoo's PSEI.PS history, checked against the PSE's own feed. The two match to the centavo.

It covers the main PSEi index and its six groups: banks, industry, holding firms, property, services, and mining and oil. It also tracks how much foreigners bought or sold.

I built return charts, a chart of how the groups move together, a look at the deepest drops, and a picture of foreign money over time.

The Motivation

I like financial data, and our market gets little attention. Most free analysis is about US stocks. Philippine data exists, but nobody has packaged it clearly for people who want more than the daily ticker.

I also wanted to try some finance methods on a market that does not behave like the S&P 500. Smaller markets have their own habits.

Rolling Returns and Correlation Matrices

My main tool was the rolling window. That means looking at a moving stretch of days instead of the whole decade at once.

I measured returns over 30 days, 90 days, and 252 days. 252 is about one year of trading days. This shows not just whether a group rose, but how steady or jumpy that rise was.

Then I measured correlation between the six groups. Correlation asks a simple question: when one goes up, does the other go up too? High means they move as one. Low means they go their own ways.

I measured it for the whole decade, and again in moving 90-day windows. That way I could see how it changes in a panic. Spoiler: in a crash, everything moves together.

The foreign money part was easier math but messier data. PSE reports it daily, with holes on holidays and the odd reporting slip. So I rolled it up to weeks and months, then added it up over time to see the direction.

What the Market Data Shows

Property and banks rule the index by size. Those two groups drive much of its movement. When Ayala Land or SM moves, the whole index moves. That is both a feature and a risk.

The foreign selling is the loudest pattern in the data. Year after year, more money left than came in.

That fits a global trend of money leaving smaller markets for US assets. But how long it has run here still stands out.

• The PSEi peaked at 9,058.62 on 29 January 2018 and has not returned there
• In the March 2020 crash the index fell 33.65% in three weeks
• The bounce was uneven — banks and property rose faster than mining and industry
• In a panic the groups move almost as one, so spreading your money helps less
• The holding firms group is close to a mirror of the whole index
• Daily trading has thinned over the decade, which hints at fewer small investors

The crash and recovery is the most dramatic stretch. The fall was extraordinarily fast. History says a drop that steep should take months, not weeks.

The bounce was quicker than expected too. Even so, the index never got back to its pre-pandemic high within the years I studied.

What I Took Away

This work confirmed a hunch. Our market is narrow, and a few family conglomerates dominate it. The "index" is largely a story about SM, Ayala, and a handful of others.

That is not automatically bad. But anyone investing here should know it.

If I go further, I want single stocks, and how earnings news moves prices. I would also add BSP rate decisions, to see how our central bank reaches the market. Even at this level, though, the patterns are clear.