Vol. 19 No. 40 (2024)

Artículos

Risk and return of a diversified portfolio in the post-pandemic Mexico

Published 2024-07-18 — Updated on 2024-07-28

  • José Carlos Espinoza
    • ,
  • Tania Alejandra Olvera Viera
    • ,
  • Danya Paola Ramos Pérez

José Carlos Espinoza
Universidad Autónoma de Nuevo León.

Tania Alejandra Olvera Viera
Universidad Autónoma de Nuevo León.

Danya Paola Ramos Pérez
Universidad Autónoma de Nuevo León.

Abstract

This article aims to analyze the risk and return of a diversified portfolio
in the Mexican stock market through the estimation of the systematic risk
and the Sharpe ratio to make a comparison between the pre-pandemic and
post-pandemic situation. Data from August 2017 to july 2022 have been considered.
It has been found that although a diversified portfolio in Mexico has
increased its risk and return levels in the post-pandemic situation, there is
not enough evidence to determine the presence of a statistically significant
change between the pre-pandemic and post-pandemic situations. It is concluded
that the stock market in Mexico adjusted rapidly, which could be
indirect evidence for the efficient markets hypothesis.

Keywords

Array, Array, Array, Array

PDF (Spanish)

References

  1. Abuzayed, Bana, Elie Bouri; Nedal Al-Fayoumi y Naji Jalkh (2021). Systemic risk spillover across global and country stock markets during the COVID-19 pandemic. Economic Analysis and Policy, vol. 71, pp. 180-197, https://doi.org/10.1016/j.eap.2021.04.010.
  2. Aliu, Florin, Ujkan Bajra y Naim Preniqi (2022). Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic. Studies in Economics and Finance, vol. 39, No. 3, pp. 444-457. https://doi.org/10.1108/SEF-05-2021-0190.
  3. Banxico (2022). Valores Gubernamentales. Disponible en: https://www.banxico.org.mx
  4. Belhassine, Olfa y Chiraz Karamti (2021). Contagion and portfolio management in times of COVID-19. Economic Analysis and Policy, vol. 72, p. 73-86. https://doi.org/10.1016/j.eap.2021.07.010.
  5. Bouri, Elie, Muhammad Abubakr Naeem, Safwan Mohd Nor, Imen Mbarki & Tareq Saeed (2022). Government responses to COVID-19 and industry stock returns. Economic Research-Ekonomska Istraživanja, vol. 35, No. 1, pp. 1967-1990. https://doi.org/10.1080/1331677X.2021.1929374.
  6. Choi, Sun-Yong (2022). Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic. Economic Analysis and Policy, vol. 73, pp. 179-193 https://doi.org/10.1016/j.eap.2021.11.014.
  7. Elton, Edwin; Martin Gruber; Stephen Brown y William Goetzmann (2014). Modern portfolio theory and investment analysis. (Novena edición). Wiley.
  8. El Economista (2018). Bolsa Mexicana de Valores cerró con alza de 0.93%; reportó octubre negro al acumular caída. Publicado el 31 de octubre de 2018. Disponible en: https://www.eleconomista.com.mx/mercados/Bolsa-Mexicana-de-Valores-cerro-con-alza-de-0.93-reporto-octubre-negro-al-acumular-caida-20181031-0079.html.
  9. El País (2020). México suspende las clases por un mes y pide trabajar desde casa para mitigar la epidemia. Publicado el 14 de marzo de 2020. Disponible en: https://elpais.com/sociedad/2020-03-14/mexico-adelanta-y-alarga-las-vacaciones-de-semana-santa-para-contener-la-epidemia.html.
  10. Esparcia, Carlos y Raquel López (2022). Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development. Information Sciences, vol. 609, pp. 1181-1203. https://doi.org/10.1016/j.ins.2022.07.146.
  11. Expansión (2018). Octubre negro para las bolsas mundiales: pierden 4,5 billones. Publicado el 1 de noviembre de 2018. Disponible en: https://www.expansion.com/mercados/2018/11/01/5bda1c13e5fdeaba028b45cd.html.
  12. Escudero, Xavier; Jeannette Guarner; Arturo Galindo-Fraga; Mara Escudero-Salamanca; Marco Alcocer-Gamba y Carlos Del Río (2020). La pandemia deCoronavirus SARS-CoV-2 (COVID-19): Situación actual e implicaciones para México. Archivos de Cardiología de México, vol. 90, supl. 1, pp. 7-14. https://doi.org/10.24875/acm.m20000064.
  13. Fama, Eugene (1965). The Behavior of Stock-Market Prices. The Journal of Business, vol. 38, No. 1, pp. 34-105. https://www.jstor.org/stable/2350752.
  14. Jensen, Michael (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, vol. 23, No. 2, pp. 389-416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x.
  15. Liu, Yuntong; Yu Wei, Qian Wang y Yi Liu (2022). International stock market risk contagion during the COVID-19 pandemic. Finance Research Letters, vol. 45. https://doi.org/10.1016/j.frl.2021.102145.
  16. Markowitz, Harry (1952). Portfolio Selection. The Journal of Finance, vol. 7, No. 1, pp. 77-91. https://doi.org/10.2307/2975974.
  17. Outlaw, Dominique, Aimee Hoffmann y Na Wang (2021). The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management. The Journal of Portfolio Management, vol. 47, No. 9, pp. 159-177. https://doi.org/10.3905/jpm.2021.1.282.
  18. Samaniego, Jesús, Roberto Santillán-Salgado y Luis Escobar (2022). The Global Automotive Industry Stock Returns during the COVID-19 Pandemic. Revista Mexicana de Economía y Finanzas, Nueva Época, vol. 17, No. 4, pp. 1-21. https://doi.org/10.21919/remef.v17i4.800.
  19. Sharpe, William (1966). Mutual Fund Performance. The Journal of Business, vol. 39, No. 1, pp. 119-138. https://www.jstor.org/stable/2351741.
  20. Tobin, James (1958). Liquidity preference as behavior towards risk. Review of Economic Studies, vol. 25, No. 2, pp. 65-86. https://doi.org/10.2307/2296205.
  21. Treynor, Jack y Kay Mazuy (1966). Can mutual funds outguess the market? Harvard Business Review, vol. 44, No. 4, pp. 131-136.
  22. Wackerly, Dennis, William Mendenhall & Richard Scheaffer (2008). Mathematical Statistics with Applications. Séptima edición. Cengage Learning.
  23. Wei, Yu, Zhuo Wang, Dongxin Li y Xiaodan Chen (2022). Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets? Finance Research Letters, vol. 47. https://doi.org/10.1016/j.frl.2021.102648.
  24. Yahoo Finance (2022). Historical Prices. Disponible en: https://finance.yahoo.com

Downloads

Download data is not yet available.