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Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises

Author

Listed:
  • Edib Smolo

    (Effat University)

  • Ruslan Nagayev

    (Istanbul Sabahattin Zaim University)

  • Rashed Jahangir

    (Istanbul Sabahattin Zaim University
    Sakarya University)

  • Christo S. C. Tarazi

    (Istanbul Sabahattin Zaim University)

Abstract

Using Wavelet Coherence, Frequency Interconnectedness and Spillover methodologies, this study investigates the dynamic comovements and spillover effects between emerging markets (BRICS and Türkiye) with a specific emphasis on the effects of the GFC and COVID-19 pandemic. It aims to compare the impact of these events on portfolio diversification in the equity markets from the perspective of international equity investors. The results indicate that the stock markets are positively interlinked and depend on the time and frequency of returns. Significant correlations among the equity markets and a spike in overall spillover are also evident in the recent period due to the COVID-19 pandemic. These findings can be useful for policymakers and investors in their decision making.

Suggested Citation

  • Edib Smolo & Ruslan Nagayev & Rashed Jahangir & Christo S. C. Tarazi, 2024. "Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 51-69, February.
    • Handle: RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00332-1
    DOI: 10.1057/s41260-023-00332-1
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    More about this item

    Keywords

    Capital markets; Equities; Wavelet coherence; Interconnectedness; BRICS; Turkey;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F15 - International Economics - - Trade - - - Economic Integration
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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