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Performances of Islamic and conventional equities during the global health crisis: Time‐frequency analysis of BRICS+T markets

Author

Listed:
  • Edib Smolo
  • Rashed Jahangir
  • Ruslan Nagayev
  • Christo S. C. Tarazi

Abstract

This study investigates the dynamic linkages and spillover effect between emerging economies (BRICS and Turkey), focusing on global crises, notably the COVID‐19 pandemic. The study uses daily frequency data covering the period from 2002M5 to 2021M03. For the methodology, the paper employs Wavelet Coherence for multiresolution time‐frequency analysis in addition to the frameworks of Diebold‐Yilmaz Connectedness Index (DY12) and Barunik‐Krehlik Frequency Connectedness Index (BK18). The empirical results reveal that the stock market comovements among sample markets are non‐monotonous and depend on the time and frequency of returns. Significant correlations among the sample countries and a spike in overall spillover are also evident at the outbreak of the COVID‐19 pandemic or the Global Health Crisis (GHC). China, Brazil, Russia, and Turkey with all the other markets, experienced the weakest links during the GHC. Brazil, Russia, and South Africa act consistently (across different horizons) as net transmitters, whereas India, China, and Turkey perform as net receivers. Islamic equities are more likely to “give” and less prone to “receive” than conventional equities. Compared to the Global Financial Crisis (GFC), the GHC effect is more severe but short‐lived. The findings of this study are helpful to policymakers and diverse investors when making portfolio diversification decisions.

Suggested Citation

  • Edib Smolo & Rashed Jahangir & Ruslan Nagayev & Christo S. C. Tarazi, 2022. "Performances of Islamic and conventional equities during the global health crisis: Time‐frequency analysis of BRICS+T markets," Review of Financial Economics, John Wiley & Sons, vol. 40(3), pages 259-280, July.
    • Handle: RePEc:wly:revfec:v:40:y:2022:i:3:p:259-280
    DOI: 10.1002/rfe.1152
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    References listed on IDEAS

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