Building an efficient portfolio by using the weighted moving average in the light of the global pandemic (COVID19) (An applied study in the Iraq stock market)
DOI:
https://doi.org/10.21533/pen.v9.i4.965Abstract
The research aims to study how to build an efficient portfolio by using the weighted moving average in the light of the global pandemic and compare it with the efficient portfolio for the previous period before the global pandemic. The rapid spread of Corona virus (COVID-19) is having major impacts on the financial markets around the world. However, the global pandemic caused a great risk, which led the investors to suffer huge losses in a very short period of time, in addition, to the global Covid-19 pandemic, the economic recession and the drop in oil prices led to a drop in the share prices of companies, as well as most of the companies listed in the Iraq Stock Market (Iraq Stock Exchange), trading in their shares decreased after the appearance of the first case in Iraq in 25/2/2019. The weighted moving average is one of the technical analysis tools, and this technical and mathematical tool has been used to build a portfolio consists of (24 companies). The first ten companies that have the highest weighted moving average have been selected and the research period is divided into the period before the global pandemic which started from 25/2/2019 to 24/2/2020 and the concurrent period of the global pandemic from 25/2/2020 to 2/24/2021 and the researcher used the statistical program [Microsoft Excel 10]. It has been concluded from the research that the Sharpe ratio for the technical portfolio for the concurrent period of the global pandemic was higher than the Sharpe ratio for the previous technical portfolio before the global pandemic, although the Sharpe ratio for both portfolios is negative, meaning that the returns of the portfolio are less than the risk-free return, but the Sharpe ratio for the technical portfolio for the concurrent period is better than the technical portfolio for the previous period, which confirms that the decrease in the number of trading sessions and the volume of trading have affected the performance of the investment portfolio, the smaller the number of trading volume, the better the performance of the portfolio. The researcher recommends with using other technical and mathematical tools to build an efficient investment portfolio in the light of the global pandemic.
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