STOCK PERFORMANCE DURING COVID-19 PANDEMIC BY SECTOR: CONDITIONAL VALUE AT RISK APPROACH

MATÚŠ BILKA

https://doi.org/10.53465/EDAMBA.2021.9788022549301.43-51

 

Abstract: The Covid-19 pandemics affects many areas of our lives, with financial markets being no exception. Comparison of the risk-return patterns of the sector stock indices allows us to draw conclusions on the relative vulnerability of the economic sectors to the underlaying pandemic. Previous research suggests that although market was negatively hit in general, it is possible to find small portion of the winners. We used daily prices from the 1.8.2018 to 31.7.2021 on the sector stock indices to assess its risk-return patterns before and during the pandemic. Special emphasis was set on the calculation of the Conditional value at risk. Our results suggest that, although all the sectors reported increased CVaR measures, in terms of the Sharpe ratio most sectors reported higher values in Covid-19 period. IT, Consumer Discretionary and Health care sector showed the lowest relative increase in the riskiness while Real Estate, Utilities, Energy and Materials were hit the most. With regards to the Healthcare sector, the improved performance seems to be driven by the industries of Biotechnology and HC equipment rather than Pharmaceuticals.

Keywords: conditional value at risk, sector stock indices, financial markets

JEL classification: G10, G11

Fulltext: PDF

Online publication date: 12 May 2022

 

To cite this article (APA style): 

Bilka, M. (2022). Stock Performance during Covid-19 Pandemic by Sector: Conditional Value at Risk Approach. Proceedings from the EDAMBA 2021 conference, 43 – 51.  https://doi.org/10.53465/EDAMBA.2021.9788022549301.43-51