| Title | COVID-19 impact on the Spanish stock exchange with mean-variance and diversification-based portfolios |
|---|---|
| Authors | Martinez-Nieto, Luisa , FERNÁNDEZ NAVARRO, FRANCISCO DE ASÍS, MONTERO ROMERO, Mª TERESA, CARBONERO RUZ, MARIANO |
| External publication | No |
| Means | Appl. Econ. Lett. |
| Scope | Article |
| Nature | Científica |
| JCR Quartile | 4 |
| SJR Quartile | 3 |
| JCR Impact | 1.287 |
| SJR Impact | 0.4 |
| Web | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85118236409&doi=10.1080%2f13504851.2021.1990203&partnerID=40&md5=050361299a05dea13f4efd9eb15dc457 |
| Publication date | 26/10/2021 |
| ISI | 000711766600001 |
| Scopus Id | 2-s2.0-85118236409 |
| DOI | 10.1080/13504851.2021.1990203 |
| Abstract | This paper examines the out-of-sample performance of thirteen portfolio strategies in the Spanish financial market (Ibex 35) during the COVID-19 pandemic (considering four different periods) by using three standard financial metrics. The main findings of the study are as follows: (i) the only methods outperforming Ibex 35 are those based on risk parity or diversification; (ii) unstable period data caused underperformance of strategies that require a previous estimation of certain hyper-parameters in their formulations. |
| Keywords | COVID-19; Spanish stock exchange; Ibex 35; mean-variance portfolios; diversified strategies; out-sample performance |
| Universidad Loyola members |