IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v25y2024i1d10.1057_s41260-023-00332-1.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/s41260-023-00332-1
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/s41260-023-00332-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00332-1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.