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Volatilidad y COVID-19: evidencia empírica internacional

Author

Listed:
  • Tomás Gómez Rodríguez

    (Universidad Autónoma del Estado de Hidalgo, México)

  • Humberto Ríos Bolívar

    (Instituto Politécnico Nacional, México)

  • Adriana Zambrano Reyes

    (Universidad Autónoma del Estado de Hidalgo, México)

Abstract

Se estudiá la relación entre los efectos de la pandemia de COVID-19 y la volatilidad realizada. Además, se analizá el posible nexo entre las medidas de mitigación y contención adoptadas por los gobiernos y la volatilidad realizada. El período de estudio abarca del 2 de febrero de 2020 al 28 de agosto del mismo año. Este período a su vez se dividió en catorce muestras dos para cada mes, lo que dio origen a los catorce paneles no balanceados usados en las estimaciones. El método de estimación utilizado es Mínimos Cuadrados Ordinarios con efectos fijos de dos vías y el método de Mínimos Cuadrados Generalizados Estimados (EGLS) con efectos aleatorios de una vía (período). Se utilizaron datos de volatilidad realizada de sesenta y cinco de los principales índices bursátiles. Los resultados exhiben evidencia que apoya la existencia de una relación estadística significativa entre las medidas de contención y mitigación y la volatilidad realizada, principalmente en los meses de febrero y marzo, sin embargo, no se encontró uniformidad en los resultados. Por otro lado, no se encontró evidencia suficiente a favor de la existencia de una relación positiva entre los efectos de la pandemia COVID-19 y la volatilidad realizada.

Suggested Citation

  • Tomás Gómez Rodríguez & Humberto Ríos Bolívar & Adriana Zambrano Reyes, 2021. "Volatilidad y COVID-19: evidencia empírica internacional," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-20, Julio - S.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:3:a:4
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    References listed on IDEAS

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    More about this item

    Keywords

    Sistema Financiero; panel de datos; volatilidad en los mercados accionarios; COVID-19; medidas de contención y mitigación;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management

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