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

Date

2018-01-01

Author

Ewing, Bradley T.
Gormus, Alper
Soytaş, Uğur

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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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.

Subject Keywords

Emerging Market Mutual Funds, Natural Gas, Oil, Volatility Spillover

URI

https://hdl.handle.net/11511/38225

Journal

EMERGING MARKETS FINANCE AND TRADE

DOI

https://doi.org/10.1080/1540496x.2017.1400965

Collections

Department of Business Administration, Article

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Citation Formats

B. T. Ewing, A. Gormus, and U. Soytaş, “Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds,” EMERGING MARKETS FINANCE AND TRADE, pp. 1828–1837, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/38225.