Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds

Ewing B. T. , Gormus A., SOYTAŞ U.

EMERGING MARKETS FINANCE AND TRADE, cilt.54, sa.8, ss.1828-1837, 2018 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 54 Konu: 8
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1080/1540496x.2017.1400965
  • Sayfa Sayıları: ss.1828-1837


This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs' risk transmitting to oil prices and almost all of the EMMFs' risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs' influence on the oil market decreasing after this turbulent period. Our results have important implications for mutual fund managers and investors.