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

• Published in: Journal of asset management Vol. 25; no. 1; pp. 51 - 69
• Main Authors: Smolo, Edib, Nagayev, Ruslan, Jahangir, Rashed, Tarazi, Christo S. C.
• Format: Journal Article
• Language: English
• Published: London Palgrave Macmillan UK 01.02.2024; Palgrave Macmillan
• Subjects: Capital markets; Coronaviruses; COVID-19; Disease transmission; Diversification; Economic growth; Economics and Finance; Emerging markets; Equity; Finance; Financial Services; GDP; Global economy; Gross Domestic Product; International finance; Investments; Investors; Original Article; Pandemics; Risk Management; Securities markets; Sovereign debt; Spillover effect; BRICS; F21; G11; C58; F36; G15; F15; Turkey; Equities; Wavelet coherence; Capital markets; Interconnectedness; C40
• ISSN: 1470-8272; 1479-179X
• DOI: 10.1057/s41260-023-00332-1

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.