Estimation of Stock Betas on the Lima Stock Exchange in the Pre and Post Covid 19 Context
Abstract
The objective of this research is to estimate and compare the stock betas of companies listed on the Lima Stock Exchange (BVL) in two periods: pre and post COVID-19, to assess whether there is a variation in these periods. The general formula was used to estimate betas with variances and covariances. The data included the S&P Lima General Index (SPBLPGPT), as well as the corrected closings of the most important companies on the stock exchange and belonging to a BVL index from 2017 to 2023, divided into two periods before and after the pandemic. The results indicate a positive and negative variation for certain companies, which shows that there is no general and determining result. A T-test statistic is performed to determine the existence of a variation between both periods. The research concludes that there is no general variation between the betas.
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