Energy mutual funds and oil prices


Gormus A., Diltz J. D., Soytas U.

MANAGERIAL FINANCE, vol.44, no.3, pp.374-388, 2018 (ESCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 44 Issue: 3
  • Publication Date: 2018
  • Doi Number: 10.1108/mf-04-2017-0124
  • Journal Name: MANAGERIAL FINANCE
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus
  • Page Numbers: pp.374-388
  • Keywords: Oil prices, Energy mutual funds, Mutual fund characteristics, Volatility transmission, VOLATILITY SPILLOVER, STOCK MARKETS, CRUDE-OIL, INTERNATIONAL TRANSMISSION, RETURNS, SHOCKS, DECOMPOSITION, PERFORMANCE, COMMODITY, CAUSALITY
  • Middle East Technical University Affiliated: Yes

Abstract

Purpose The purpose of this paper is to examine the price level and volatility impacts of oil prices on energy mutual funds (EMFs). The authors also examine specific fund characteristics which might influence those interactions.