The Risk-Return Relationship on European Capital Markets During The Covid-19
In the last two years, the world is facing the COVID-19 pandemic. The economic slowdown caused by uncertainty and pandemic control measures has significantly affected capital markets. The aim of this paper is to analyze the impact of the COVID-19 pandemic on the capital markets of selected European Union countries using modern portfolio theory. The conclusion on the impact of the pandemic will be made on the basis of the relationship between stock return and risk and the estimated M-CVaR efficient frontiers in the Spanish, German, French and Italian capital markets in the period before and during the COVID-19 pandemic.
Keywords - Capital Markets, COVID-19 Pandemic, Efficient Frontier, Modern Portfolio Theory