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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

✗

SJR Quartile

✗

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

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