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) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 54 Sayı: 8
  • Basım Tarihi: 2018
  • Doi Numarası: 10.1080/1540496x.2017.1400965
  • Dergi Adı: EMERGING MARKETS FINANCE AND TRADE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1828-1837
  • Anahtar Kelimeler: emerging market mutual funds, natural gas, oil, volatility spillover, STOCK-MARKET, VOLATILITY TRANSMISSION, PRICE FLUCTUATIONS, COMMODITY-MARKETS, UNIT-ROOT, CRUDE-OIL, PERFORMANCE, SPILLOVERS, VARIANCE, DECOMPOSITION
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

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.