Abstract
This research evaluates the presence of a structural change in the
specific risk of the shares of companies listed on the Mexican Stock
Exchange (BMV) by sector, before and after the announcement of the COVID-19
pandemic, which represented an exogenous shock to supply and demand. A
single-factor model is used to estimate the relationship between the
individual performance of each stock and the market performance in the
period 2017-2022, and the Chow test identifies that one-third of the stocks
experienced a statistically significant structural change. The sectors with
the highest incidence of change were health, non-basic consumption,
industrial, and materials, suggesting a differentiated sensitivity to
external shocks, which may be associated with the elasticity of demand for
the goods and services they provide. This work contributes to the financial
literature on idiosyncratic risk in emerging markets by offering sectoral
evidence following an extreme event, as well as providing a tool for
assessing risk for decision-making by investors, portfolio managers, and
regulators.