Energy mutual funds and oil prices


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

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

  • Publication Type: Article / Article
  • Volume: 44 Issue: 3
  • Publication Date: 2018
  • Doi Number: 10.1108/mf-04-2017-0124
  • Title of Journal : MANAGERIAL FINANCE
  • 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

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.