The answer is yes if you believe a study on rats. The study finds that females cope better with stress than males, at least among the rat population.

Researchers at the University of Buffalo put male and female rats through tasks that mimicked challenging human experiences and had their memories tested. The female rats showed no imapirment in their memorizing ability while the male rats struggled with short-term memory.

Researcher Dr. Yan said, "Previous studies have found that females are more resilient to chronic stress and now our research has found the reason why."

Yan says they found the female hormone oestrogen protected the brains of female rats from becoming damaged by constant stress. Yan says when male rats were exposed to greater levels of oestrogen they were more protected from the effects of stress.

[Daily Mail]