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

Edib Smolo, Ruslan Nagayev, Rashed Jahangir and Christo S. C. Tarazi
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Ruslan Nagayev: Istanbul Sabahattin Zaim University
Rashed Jahangir: Istanbul Sabahattin Zaim University
Christo S. C. Tarazi: Istanbul Sabahattin Zaim University

Journal of Asset Management, 2024, vol. 25, issue 1, No 4, 69 pages

Abstract: 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.

Keywords: Capital markets; Equities; Wavelet coherence; Interconnectedness; BRICS; Turkey (search for similar items in EconPapers)
JEL-codes: C40 C58 F15 F21 F36 G11 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1057/s41260-023-00332-1

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