IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v16y2021i3a7.html
   My bibliography  Save this article

Afectaciones financieras en los principales países de América Latina con mayores registros de COVID-19

Author

Listed:
  • Héctor Alonso Olivares Aguayo

    (Universidad La Salle, México)

Abstract

El objetivo de la investigación es determinar las afectaciones que ha causado la pandemia COVID-19 en los principales mercados de América Latina (Brasil, Argentina, Colombia y México). Se realiza un análisis del Valor en Riesgo a diferentes niveles de confianza para la conformación de portafolios de inversión óptimos del tipo Markowitz y Sharpe en los componentes del BOVESPA, S&P Merval, COLCAP y S&P BMV/ IPC. Los resultados muestran que para ambos tipos de portafolios las mayores pérdidas esperadas las tiene el mercado argentino y las menores el mexicano. Por lo que de las economías analizadas en esta investigación es más recomendable invertir en el mercado accionario de México. Como limitación se asume el supuesto de rendimientos gaussianos. El trabajo es original porque los datos históricos diarios consideran el periodo del COVID-19. Se concluye que, a pesar, que Brasil es el país con mayor número de contagios por COVID-19 de América Latina, con base en la métrica de Valor en Riesgo, Argentina es el más afectado financieramente y México el menor.

Suggested Citation

  • Héctor Alonso Olivares Aguayo, 2021. "Afectaciones financieras en los principales países de América Latina con mayores registros de COVID-19," 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 1-18, Julio - S.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:3:a:7
    as

    Download full text from publisher

    File URL: https://www.remef.org.mx/index.php/remef/article/view/650
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Susana Luna-Ramírez & Diego A. Agudelo, 2017. "Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?," Documentos de Trabajo de Valor Público 16959, Universidad EAFIT.
    2. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    3. Mauricio I. Gutiérrez Urzúa & Patricio Galvez Galvez & Benjamin Eltit & Hernaldo Reinoso, 2017. "Resolución del problema de carteras de inversión utilizando la heurística de colonia artificial de abejas," Estudios Gerenciales, Universidad Icesi, vol. 33(145), pages 391-399, November.
    4. Luis Berggrun Preciado & Virginia Camacho Roger, 2009. "Cómo Crear Un Portafolio De Inversión Con Las Opciones Que Ofrecen Los Fondos De Pensiones Voluntarias En Colombia: El Caso De Skandia," Estudios Gerenciales, Universidad Icesi, December.
    5. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    6. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    7. Ricardo Jacob Mendoza-Rivera & José Antonio Lozano-Díez & Francisco Venegas-Martínez, 2020. "Impacto de la pandemia Covid-19 en variables financieras relevantes en las principales economías de Latinoamérica," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 0(2), pages 125-144, Diciembre.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
    2. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
    3. Kanwal Iqbal Khan & Syed M. Waqar Azeem Naqvi & Muhammad Mudassar Ghafoor & Rana Shahid Imdad Akash, 2020. "Sustainable Portfolio Optimization with Higher-Order Moments of Risk," Sustainability, MDPI, vol. 12(5), pages 1-14, March.
    4. Nicolas Brisset, 2018. "Models as speech acts: the telling case of financial models," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(1), pages 21-41, January.
    5. Eric Benhamou & Beatrice Guez & Nicolas Paris1, 2019. "Omega and Sharpe ratio," Papers 1911.10254, arXiv.org.
    6. Rolf Bühner, 1998. "Unternehmensspaltung — Motive und Aktienmarktreaktionen," Schmalenbach Journal of Business Research, Springer, vol. 50(9), pages 809-840, September.
    7. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    8. Chalfant, James & Collender, Robert N. & Subramanfar, Shankar, 1988. "The Mean and Variance of the Mean-Variance Decision Rule," CUDARE Working Papers 198476, University of California, Berkeley, Department of Agricultural and Resource Economics.
    9. Ferruz Agudo, Luis & Sarto Marzal, José Luis, 2004. "An analysis of Spanish investment fund performance: some considerations concerning Sharpe's ratio," Omega, Elsevier, vol. 32(4), pages 273-284, August.
    10. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
    11. GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013. "Robust Estimation And Forecasting Of The Capital Asset Pricing Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-18.
    12. Tonci Svilokos, 2016. "Heuristic approach for determining efficient frontier portfolios with more than two assets, the case of ZSE," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 99-115,116-.
    13. Jean-Pierre BERDOT, 2008. "Evaluation of the performance and of the integration of the euro zone stock market: which are the "right moments"?," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 1, pages 29-41, December.
    14. Robert Cox Merton & Francisco Venegas-Martínez, 2021. "Financial Science Trends and Perspectives: A Review Article," 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(1), pages 1-15, Enero - M.
    15. José Antonio Climent Hernández, 2017. "Portafolios de dispersión mínima con rendimientos log-estables," 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. 12(2), pages 49-69, Abril-Jun.
    16. José Antonio Climent-Hernández, 2017. "Portafolios de dispersión mínima con rendimientos log-estables Minimum dispersion portfolios with log-stable returns," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
    17. Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
    18. Hume, Michael & Sentance, Andrew, 2009. "The global credit boom: Challenges for macroeconomics and policy," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1426-1461, December.
    19. Glyn A. Holton, 2002. "History of Value-at-Risk: 1922-1998," Method and Hist of Econ Thought 0207001, University Library of Munich, Germany.
    20. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.

    More about this item

    Keywords

    COVID-19; Teoría del Portafolio; rendimientos;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:16:y:2021:i:3:a:7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.